On Efficiency of Multilevel Splitting

DOI10.1080/03610918.2012.625337zbMath1279.65016OpenAlexW2147076133MaRDI QIDQ4905889

D. I. Miretskiy, Werner R. W. Scheinhardt, M. R. H. Mandjes

Publication date: 21 February 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.625337

zbMATH Keywords

importance samplingnumerical examplesasymptotic efficiencyqueueing networksrare event estimationmultilevel splittingfast simulation techniquesserver slowdowntwo-node tandem Jackson network

Mathematics Subject Classification ID

Related Items (1)

A Large-Deviation-Based Splitting Estimation of Power Flow Reliability

Cites Work

• State-dependent importance sampling for a slowdown tandem queue
• Importance sampling for Jackson networks
• A feedback fluid queue with two congestion control thresholds
• Splitting for rare event simulation: A large deviation approach to design and analysis
• Dynamic importance sampling for queueing networks
• Multilevel Splitting for Estimating Rare Event Probabilities
• Rare-Event Simulation for Tandem Queues: A Simple and Efficient Importance Sampling Scheme
• The Asymptotic Efficiency of Simulation Estimators
• Fast simulation of rare events in queueing and reliability models
• A Tandem Queue with Server Slow-Down and Blocking

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