Rare-Event Simulation for Tandem Queues: A Simple and Efficient Importance Sampling Scheme

  • Denis Miretskiy
  • Werner Scheinhardt
  • Michel Mandjes
Part of the Lecture Notes in Computer Science book series (LNCS, volume 5894)

Abstract

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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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Denis Miretskiy
    • 1
  • Werner Scheinhardt
    • 1
  • Michel Mandjes
    • 2
  1. 1.University of TwenteEnschedeThe Netherlands
  2. 2.University of AmsterdamAmsterdamThe Netherlands

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