NDLI: Importance sampling for Jackson networks

Content Provider	Springer Nature Link
Author	Wang, Hui Dupuis, Paul
Copyright Year	2009
Abstract	Rare event simulation in the context of queueing networks has been an active area of research for more than two decades. A commonly used technique to increase the efficiency of Monte Carlo simulation is importance sampling. However, there are few rigorous results on the design of efficient or asymptotically optimal importance sampling schemes for queueing networks. Using a recently developed game/subsolution approach, we construct simple and efficient state-dependent importance sampling schemes for simulating buffer overflows in stable open Jackson networks. The sampling distributions do not depend on the particular event of interest, and hence overflow probabilities for different events can be estimated simultaneously. A by-product of the analysis is the identification of the minimizing trajectory for the calculus of variation problem that is associated with the sample-path large deviation rate function.
Ending Page	157
Page Count	45
Starting Page	113
File Format	PDF
ISSN	02570130
e-ISSN	15729443
Journal	Queueing Systems
Issue Number	1-2
Volume Number	62
Language	English
Publisher	Springer US
Publisher Date	2009-06-17
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Jackson networks Systems Theory, Control Rare ever simulation Asymptotic optimality Probability Theory and Stochastic Processes Large deviations Isaacs equations Subsolutions Monte Carlo methods Performance evaluation; queueing; scheduling Operations Research/Decision Theory Production/Logistics Queueing theory Computer Communication Networks Importance sampling
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Management Science and Operations Research Computational Theory and Mathematics Computer Science Applications

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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
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