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2003 Peformance Analysis Conditioned on Rare Events: An Adaptive Simulation Scheme
V. S. Borkar, S. Juneja, A. A. Kherani
Commun. Inf. Syst. 3(4): 259-278 (2003).

Abstract

We consider the problem of simulation-based estimation of performance measures for a Markov chain conditioned on a rare event. The conditional law depends on the solution of a multiplicative Poisson equation. An adaptive scheme for learning the latter is proposed and analyzed. An example motivated by a well known problem in communication networks is given. Applications of the basic scheme to other related domains such as importance sampling for rare event simulation and the solution of a class of eigenvalue problems are also sketched.

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V. S. Borkar. S. Juneja. A. A. Kherani. "Peformance Analysis Conditioned on Rare Events: An Adaptive Simulation Scheme." Commun. Inf. Syst. 3 (4) 259 - 278, 2003.

Information

Published: 2003
First available in Project Euclid: 24 June 2005

zbMATH: 1087.94014
MathSciNet: MR2132040

Rights: Copyright © 2003 International Press of Boston

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Vol.3 • No. 4 • 2003
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