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ETT
2002
142views Education» more  ETT 2002»
13 years 3 months ago
Adaptive state- dependent importance sampling simulation of markovian queueing networks
In this paper, a method is presented for the efficient estimation of rare-event (buffer overflow) probabilities in queueing networks using importance sampling. Unlike previously pr...
Pieter-Tjerk de Boer, Victor F. Nicola
IOR
2006
163views more  IOR 2006»
13 years 3 months ago
Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
For a discrete-time finite-state Markov chain, we develop an adaptive importance sampling scheme to estimate the expected total cost before hitting a set of terminal states. This s...
T. P. I. Ahamed, Vivek S. Borkar, S. Juneja
WSC
2007
13 years 6 months ago
Ant-based approach for determining the change of measure in importance sampling
Importance Sampling is a potentially powerful variance reduction technique to speed up simulations where the objective depends on the occurrence of rare events. However, it is cru...
Poul E. Heegaard, Werner Sandmann
TOMACS
2010
182views more  TOMACS 2010»
13 years 2 months ago
State-dependent importance sampling for a Jackson tandem network
This paper considers importance sampling as a tool for rare-event simulation. The focus is on estimating the probability of overflow in the downstream queue of a Jacksonian two-n...
Denis I. Miretskiy, Werner R. W. Scheinhardt, Mich...
ANSS
2005
IEEE
13 years 9 months ago
Approximation Techniques for the Analysis of Large Traffic-Groomed Tandem Optical Networks
We consider a traffic-groomed optical network consisting of N nodes arranged in tandem. This optical network is modeled by a tandem queueing network of multi-rate loss queues with...
Alicia Nicki Washington, Chih-Chieh Hsu, Harry G. ...