On efficiency of multilevel splitting

DOI10.1080/03610918.2012.625337MaRDI QIDQ4905889zbMATH OpenOpenAlexFDO

Authors D. I. Miretskiy, Werner R. W. Scheinhardt, M. R. H. Mandjes

Publication date 21 February 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2012.625337

zbMATH Keywords

asymptotic efficiencyfast simulation techniquesimportance samplingmultilevel splittingnumerical examplesqueueing networksrare event estimationserver slowdowntwo-node tandem Jackson network

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Queueing theory (aspects of probability theory) (60K25) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• A feedback fluid queue with two congestion control thresholds
• A Tandem Queue with Server Slow-Down and Blocking
• Dynamic importance sampling for queueing networks
• Fast simulation of rare events in queueing and reliability models
• Importance sampling for Jackson networks
• Multilevel splitting for estimating rare event probabilities
• Rare-event simulation for tandem queues: a simple and efficient importance sampling scheme
• Splitting for rare event simulation: A large deviation approach to design and analysis
• State-dependent importance sampling for a slowdown tandem queue
• The Asymptotic Efficiency of Simulation Estimators

Cited in

(11)

• Splitting for rare event simulation: A large deviation approach to design and analysis
• General and efficient multisplitting of numerical attributes
• Splitting algorithms for rare event simulation over long time intervals
• Multilevel splitting for estimating rare event probabilities
• Analysis of adaptive multilevel splitting algorithms in an idealized case
• scientific article; zbMATH DE number 1103062 (Why is no real title available?)
• A large deviations perspective on the efficiency of multilevel splitting
• A variant of importance splitting for rare event estimation: fixed number of successes
• Analysis of a splitting estimator for rare event probabilities in Jackson networks
• A large-deviation-based splitting estimation of power flow reliability
• A combined splitting-cross entropy method for rare-event probability estimation of queueing networks

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