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August 2007 Dynamic importance sampling for queueing networks
Paul Dupuis, Ali Devin Sezer, Hui Wang
Ann. Appl. Probab. 17(4): 1306-1346 (August 2007). DOI: 10.1214/105051607000000122


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.


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Paul Dupuis. Ali Devin Sezer. Hui Wang. "Dynamic importance sampling for queueing networks." Ann. Appl. Probab. 17 (4) 1306 - 1346, August 2007.


Published: August 2007
First available in Project Euclid: 10 August 2007

zbMATH: 1144.60022
MathSciNet: MR2344308
Digital Object Identifier: 10.1214/105051607000000122

Primary: 60F10, 65C05
Secondary: 49N90

Rights: Copyright © 2007 Institute of Mathematical Statistics


Vol.17 • No. 4 • August 2007
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