State-dependent importance sampling for a Jackson tandem network

DOI10.1145/1842713.1842718MaRDI QIDQ4635153zbMATH OpenOpenAlexWikidataFDO

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

Publication date 16 April 2018

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

Full work available at URL https://ir.cwi.nl/pub/13638

zbMATH Keywords

estimation of probabilitiesheuristicsJackson tandem networklarge-deviations theorysimulation of rare eventsstate-dependent sampling

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sampling theory, sample surveys (62D05) Queues and service in operations research (90B22)

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• Importance sampling for a Markov modulated queuing network
• Optimal importance sampling for Markovian systems with applications to tandem queues
• Excessive backlog probabilities of two parallel queues
• Asymptotically optimal importance sampling for Jackson networks with a tree topology
• Importance sampling for non-Markovian tandem queues using subsolutions
• Large deviations and importance sampling for a tandem network with slow-down
• Alternative proof and interpretations for a recent state-dependent importance sampling scheme
• Dynamic importance sampling for queueing networks
• Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy
• Rare-event simulation for tandem queues: a simple and efficient importance sampling scheme
• Approximation of excessive backlog probabilities of two tandem queues
• Efficient simulation of a tandem Jackson network
• Efficient simulation of buffer overflow probabilities in Jackson networks with feedback
• Analysis of state-independent importance-sampling measures for the two-node tandem queue
• Efficient importance sampling heuristics for the simulation of population overflow in Jackson networks
• Analysis of an importance sampling estimator for tandem queues
• ON STATE-INDEPENDENT IMPORTANCE SAMPLING FOR THE GI|GI|1 TANDEM QUEUE¹
• Performance evaluation of an importance sampling technique in a Jackson network
• State-dependent importance sampling for a slowdown tandem queue
• Importance sampling for Jackson networks

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