The Annals of Applied Probability

Dynamic importance sampling for queueing networks

Paul Dupuis, Ali Devin Sezer, and Hui Wang

Full-text: Open access

Abstract

Importance sampling is a technique that is commonly used to speed up Monte Carlo simulation of rare events. However, little is known regarding the design of efficient importance sampling algorithms in the context of queueing networks. The standard approach, which simulates the system using an a priori fixed change of measure suggested by large deviation analysis, has been shown to fail in even the simplest network setting (e.g., a two-node tandem network).

Exploiting connections between importance sampling, differential games, and classical subsolutions of the corresponding Isaacs equation, we show how to design and analyze simple and efficient dynamic importance sampling schemes for general classes of networks. The models used to illustrate the approach include d-node tandem Jackson networks and a two-node network with feedback, and the rare events studied are those of large queueing backlogs, including total population overflow and the overflow of individual buffers.

Article information

Source
Ann. Appl. Probab. Volume 17, Number 4 (2007), 1306-1346.

Dates
First available in Project Euclid: 10 August 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1186755241

Digital Object Identifier
doi:10.1214/105051607000000122

Mathematical Reviews number (MathSciNet)
MR2344308

Zentralblatt MATH identifier
1144.60022

Subjects
Primary: 60F10: Large deviations 65C05: Monte Carlo methods
Secondary: 49N90: Applications of optimal control and differential games [See also 90C90, 93C95]

Keywords
Importance sampling tandem queueing networks Isaacs equation subsolutions asymptotic optimality

Citation

Dupuis, Paul; Sezer, Ali Devin; Wang, Hui. Dynamic importance sampling for queueing networks. Ann. Appl. Probab. 17 (2007), no. 4, 1306--1346. doi:10.1214/105051607000000122. https://projecteuclid.org/euclid.aoap/1186755241


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