Importance sampling algorithms for first passage time probabilities in the infinite server queue

DOI10.1016/j.ejor.2008.10.028zbMath1176.90131OpenAlexW2127126889MaRDI QIDQ1042120

Ad Ridder

Publication date: 7 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2008.10.028

zbMATH Keywords

queueingsimulationimportance samplingrare events

Mathematics Subject Classification ID

Queues and service in operations research (90B22)

Related Items (6)

On the benefits of Laplace samples in solving a rare event problem using cross-entropy method ⋮ Approximation of excessive backlog probabilities of two tandem queues ⋮ Excessive backlog probabilities of two parallel queues ⋮ Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process ⋮ Rare-Event Simulation for Many-Server Queues ⋮ Approximation of the exit probability of a stable Markov modulated constrained random walk

Uses Software

• MCQueue

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The transform likelihood ratio method for rare event simulation with heavy tails
• Efficient rare-event simulation for the maximum of heavy-tailed random walks
• Markov chain models - rarity and exponentiality
• Counterexamples in importance sampling for large deviations probabilities
• Introduction to rare event simulation.
• Editorial: rare-event simulation for queues
• Dynamic importance sampling for queueing networks
• A large deviations approach to the transient of the Erlang loss model
• Fast simulation of rare events in queueing and reliability models

This page was built for publication: Importance sampling algorithms for first passage time probabilities in the infinite server queue