Importance sampling for a Markov modulated queuing network

DOI10.1016/j.spa.2008.02.009zbMath1157.60345OpenAlexW2086035641MaRDI QIDQ1004403

Ali Devin Sezer

Publication date: 10 March 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.02.009

zbMATH Keywords

optimal controltandem queueslarge deviationsoverflow probabilityqueuing networksrare event simulationIsaacs equationregime switchMarkov modulateddynamic importance sampling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of optimal control and differential games (49N90) Differential games (aspects of game theory) (91A23) Queueing theory (aspects of probability theory) (60K25) Large deviations (60F10) Stochastic games, stochastic differential games (91A15)

Related Items (9)

Importance sampling for Jackson networks ⋮ Approximation of excessive backlog probabilities of two tandem queues ⋮ Excessive backlog probabilities of two parallel queues ⋮ The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation ⋮ Linear stochastic fluid networks: rare-event simulation and Markov modulation ⋮ Approximation of bounds on mixed-level orthogonal arrays ⋮ Importance sampling for a Markov modulated queuing network ⋮ Primes in prime number races ⋮ Approximation of the exit probability of a stable Markov modulated constrained random walk

Uses Software

• Octave

Cites Work

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• Importance sampling for a Markov modulated queuing network
• Neumann type boundary conditions for Hamilton-Jacobi equations
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• Importance Sampling, Large Deviations, and Differential Games
• Stochastic Approximation and Large Deviations: Upper Bounds and <scp>w.p.1</scp> Convergence
• Analysis of an importance sampling estimator for tandem queues
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

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