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: | Rubinstein Reuven Y., Asmussen Sren |
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.