Rare-Event Simulation for Tandem Queues: A Simple and Efficient Importance Sampling Scheme
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.
Unable to display preview. Download preview PDF.
- 3.de Boer, P.T., Nicola, V., Rubinstein, R.: Adaptive importance sampling simulation of queueing networks. In: Proceedings of the 2000 Winter Simulation Conference, pp. 646–655 (2000)Google Scholar
- 10.Miretskiy, D., Scheinhardt, W., Mandjes, M.: State-dependent importance sampling for a slow-down tandem queue. See also Memorandum 1879, Dept. of Applied Mathematics, University of Twente (2008) (submitted), http://eprints.eemcs.utwente.nl/13251/
- 11.Miretskiy, D., Scheinhardt, W., Mandjes, M.: State-dependent importance sampling for a Jackson tandem network. Accepted for publication in ACM Transactions on Modeling and Computer Simulation. See also Memorandum 1867, Dept. of Applied Mathematics, University of Twente (2008), http://eprints.eemcs.utwente.nl/12734/
- 15.Zaburnenko, T., Nicola, V.: Efficient heuristics for simulating population overflow in tandem networks. In: Proceedings of the Fifth St. Petersburg Workshop on Simulation, pp. 755–764 (2007)Google Scholar