Fast simulation of rare events in queueing and reliability models

DOI10.1145/203091.203094zbMath0843.62096MaRDI QIDQ4876027

Philip Heidelberger

Publication date: 21 August 1996

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: http://www.acm.org/pubs/contents/journals/tomacs/

zbMATH Keywords

rare events; likelihood ratio; variance reduction; queueing systems; Jackson networks; reliability models; unbiased estimates; buffer overflows; asymptotically optimal importance sampling techniques; asynchronous transfer mode communication switches; long waiting times; multiple autocorrelated arrival processes; simple queues; system failure events

Mathematics Subject Classification ID

65C20: Probabilistic models, generic numerical methods in probability and statistics

60K25: Queueing theory (aspects of probability theory)

62N05: Reliability and life testing

Related Items

QUICK SIMULATION METHODS FOR ESTIMATING THE UNRELIABILITY OF REGENERATIVE MODELS OF LARGE, HIGHLY RELIABLE SYSTEMS, HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY, On asymptotically efficient simulation of large deviation probabilities, Accelerating convergence in stochastic particle dispersion simulation codes, Optimization of computer simulation models with rare events, Fast simulation of blocking probabilities in loss networks, Estimating the failure probability of a Markovian system during regeneration period by the essential sampling method, Asymptotics of first passage times for random walk in an orthant, Counterexamples in importance sampling for large deviations probabilities, Rate-tilting for fast simulation of level/phase processes, Dynamic importance sampling for uniformly recurrent Markov chains, Efficiency improvement techniques, Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy, Importance sampling simulations of Markovian reliability systems using cross-entropy, Monte Carlo methods for pricing financial options, Large deviations and fast simulation in the presence of boundaries.