### Abstract

Original language | Undefined |
---|---|

Place of Publication | Enschede |

Publisher | University of Twente, Department of Applied Mathematics |

Number of pages | 21 |

Publication status | Published - 2002 |

### Publication series

Name | Memorandum Faculty of Mathematical Sciences |
---|---|

Publisher | University of Twente, Department of Applied Mathematics |

No. | 1648 |

ISSN (Print) | 0169-2690 |

### Keywords

- MSC-90B18
- MSC-90B22
- IR-65834
- EWI-3468
- METIS-212329
- MSC-60K25

### Cite this

*Efficient estimation of blocking probabilities in non-stationary loss networks*. (Memorandum Faculty of Mathematical Sciences; No. 1648). Enschede: University of Twente, Department of Applied Mathematics.

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*Efficient estimation of blocking probabilities in non-stationary loss networks*. Memorandum Faculty of Mathematical Sciences, no. 1648, University of Twente, Department of Applied Mathematics, Enschede.

**Efficient estimation of blocking probabilities in non-stationary loss networks.** / Boucherie, Richardus J.; Lassila, P.

Research output: Book/Report › Report › Professional

TY - BOOK

T1 - Efficient estimation of blocking probabilities in non-stationary loss networks

AU - Boucherie, Richardus J.

AU - Lassila, P.

N1 - Imported from MEMORANDA

PY - 2002

Y1 - 2002

N2 - This paper considers estimation of blocking probabilities in a nonstationary loss network. Invoking the so called MOL (Modified Offered Load) approximation, the problem is transformed into one requiring the solution of blocking probabilities in a sequence of stationary loss networks with time varying loads. To estimate the blocking probabilities Monte Carlo simulation is used and to increase the efficiency of the simulation, we develop a likelihood ratio method that enables samples drawn at a one time point to be used at later time points. This reduces the need to draw new samples every time independently as a new time point is considered, thus giving substantial savings in the computational effort of evaluating time dependent blocking probabilities. The accuracy of the method is analyzed by using Taylor series approximations of the variance indicating the direct dependence of the accuracy on the rate of change of the actual load. Finally, three practical applications of the method are provided along with numerical examples to demonstrate the efficiency of the method.

AB - This paper considers estimation of blocking probabilities in a nonstationary loss network. Invoking the so called MOL (Modified Offered Load) approximation, the problem is transformed into one requiring the solution of blocking probabilities in a sequence of stationary loss networks with time varying loads. To estimate the blocking probabilities Monte Carlo simulation is used and to increase the efficiency of the simulation, we develop a likelihood ratio method that enables samples drawn at a one time point to be used at later time points. This reduces the need to draw new samples every time independently as a new time point is considered, thus giving substantial savings in the computational effort of evaluating time dependent blocking probabilities. The accuracy of the method is analyzed by using Taylor series approximations of the variance indicating the direct dependence of the accuracy on the rate of change of the actual load. Finally, three practical applications of the method are provided along with numerical examples to demonstrate the efficiency of the method.

KW - MSC-90B18

KW - MSC-90B22

KW - IR-65834

KW - EWI-3468

KW - METIS-212329

KW - MSC-60K25

M3 - Report

T3 - Memorandum Faculty of Mathematical Sciences

BT - Efficient estimation of blocking probabilities in non-stationary loss networks

PB - University of Twente, Department of Applied Mathematics

CY - Enschede

ER -