- Rare-event simulation for tandem queues: A simple and efficient importance sampling scheme
- Lecture Notes in Computer Science
- Pages (from-to)
- Document type
- Faculty of Science (FNWI)
- Korteweg-de Vries Institute for Mathematics (KdVI)
This paper focuses on estimating the rare event of overflow in the downstream queue of a tandem Jackson queue, relying on importance sampling. It is known that in this setting ‘traditional’ state-independent schemes perform poorly. More sophisticated state-dependent schemes yield asymptotic efficiency. Their drawback, however, is that they require a per-state computation of the new measure, so that it still consumes considerable machine time.
The contribution of this paper is a scheme that combines asymptotic efficiency with low complexity. It retains the quality of the original state-dependent scheme, but its implementation is almost as simple as for state-independent analogues.
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- Proceedings title: Network Control and Optimization: Third Euro-NF Conference, NET-COOP 2009, Eindhoven, the Netherlands,
November 23-25, 2009: proceedings
Place of publication: Berlin
Editors: R. Núñez-Queija, J. Resing
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