Importance Sampling Simulation of Population Overflow in Two-node Tandem Networks

V.F. Nicola, T.S. Zaburnenko

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    Abstract

    In this paper we consider the application of importance sampling in simulations of Markovian tandem networks in order to estimate the probability of rare events, such as network population overflow. We propose a heuristic methodology to obtain a good approximation to the 'optimal' state-dependent change of measure (importance sampling distribution). Extensive experimental results on 2-node tandem networks are very encouraging, yielding asymptotically efficient estimates (with bounded relative error) where no other state-independent importance sampling techniques are known to be efficient The methodology avoids the costly optimization involved in other recently proposed approaches to approximate the 'optimal' state-dependent change of measure. Moreover, the insight drawn from the heuristic promises its applicability to larger networks and more general topologies.
    Original languageUndefined
    Title of host publicationProceedings of the 2nd Int.'l Conference on the Quantitative Evaluation of Systems
    EditorsC Baier, G. Chiola, E. Smirni
    Place of PublicationTurijn
    PublisherIEEE
    Pages220-229
    Number of pages10
    ISBN (Print)0-7695-2427-3
    DOIs
    Publication statusPublished - 19 Sep 2005
    Event2nd International Conference on the Quantitative Evaluation of Systems, QEST 2005 - Torino Incontra Conference Centre, Turin, Italy
    Duration: 19 Sep 200522 Sep 2005
    Conference number: 2
    http://www.qest.org/qest2005/

    Publication series

    Name
    PublisherIEEE

    Conference

    Conference2nd International Conference on the Quantitative Evaluation of Systems, QEST 2005
    Abbreviated titleQEST
    CountryItaly
    CityTurin
    Period19/09/0522/09/05
    Internet address

    Keywords

    • IR-53332
    • METIS-225930

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