Steady state rare events simulation in queueing models and its complexity properties

Steady state rare events simulation in queueing models and its complexity properties

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Article ID: iaor1997743
Country: United States
Volume: 0-8493-8074-X
Start Page Number: 429
End Page Number: 461
Publication Date: Oct 1995
Journal: Advances In Queueing: Theory, Methods and Open Problems
Authors: ,
Abstract:

This article gives an overview of rare events simulation via importance sampling in queueing models, as well as some new results and proofs in the area. Special attention is given to complexity properties of the estimators, exponential change of measure, steady-state implementation via Sigmund duality, and robustness under perturbation of the optimal set of parameters. Open problems and further research are discussed as well.

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