NDLI: Importance sampling simulations of phase-type queues

Content Provider	IEEE Xplore Digital Library
Author	Heegaard, P.E. Sandmann, W.
Copyright Year	2009
Description	Author affiliation: Department of Telematics, Norwegian University of Science and Technology (NTNU), N-7491 Trondheim, Norway (Heegaard, P.E.) \|\| Department of Mathematics, Clausthal University of Technology, D-38678 Clausthal-Zellerfeld, Germany (Sandmann, W.)
Abstract	Importance sampling is a variance reduction technique that is particularly well suited for simulating rare events and, more specifically, estimating rare event probabilities. Properly applied, it often results in tremendous efficiency improvements compared to direct simulation schemes, but it can also yield unbounded variance increase. Its efficiency and robustness critically rely on a suitable change of the underlying probability measure, which is highly model-dependent. In recent years, significant progress greatly broadened the classes of models successfully accessible by importance sampling, but several model classes still require further investigation. We consider importance sampling simulations of finite capacity queues where interarrival and service times are Erlang distributed. A change of measure is proposed and experimentally studied. Numerical results for loss rates due to buffer overflows indicate that the change of measure provides accurate estimates and appears promising for adaptation to other models involving phase-type distributions.
Starting Page	1136
Ending Page	1145
File Size	588386
Page Count	10
File Format	PDF
ISBN	9781424457700
e-ISBN	9781424457717
DOI	10.1109/WSC.2009.5429308
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-12-13
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Monte Carlo methods Discrete event simulation Computational modeling Phase estimation Robustness Computer network reliability Telecommunication network reliability Analytical models Absorption Telematics
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Ant-based approach for determining the change of measure in importance sampling

Combination of conditional Monte Carlo and approximate zero-variance importance sampling for network reliability estimation

Estimation of rare event probabilities using cross-entropy

Efficient simulation of TCP/IP for mobile wireless communications using importance sampling

Optimal Importance Sampling for Quick Simulation of Highly Reliable Markovian Systems

An importance sampling method with applications to rare event probability

Importance sampling in Markovian settings

An environment for importance sampling based on stochastic activity networks

Adaptive importance sampling simulation of queueing networks

Importance sampling simulations of phase-type queues

Similar Documents

Ant-based approach for determining the change of measure in importance sampling

Combination of conditional Monte Carlo and approximate zero-variance importance sampling for network reliability estimation

Estimation of rare event probabilities using cross-entropy

Efficient simulation of TCP/IP for mobile wireless communications using importance sampling

Optimal Importance Sampling for Quick Simulation of Highly Reliable Markovian Systems

An importance sampling method with applications to rare event probability

Importance sampling in Markovian settings

An environment for importance sampling based on stochastic activity networks

Adaptive importance sampling simulation of queueing networks

Importance sampling simulations of phase-type queues