TY - GEN
T1 - Importance sampling simulations of phase-type queues
AU - Heegaard, Poul E.
AU - Sandmann, Werner
PY - 2009
Y1 - 2009
N2 - Importance sampling is a variance reduction technique that is particularly well suited for simulating rare events and, more specifically, estimating rare event probabilities. Properly applied, it often results in tremendous efficiency improvements compared to direct simulation schemes, but it can also yield unbounded variance increase. Its efficiency and robustness critically rely on a suitable change of the underlying probability measure, which is highly model-dependent. In recent years, significant progress greatly broadened the classes of models successfully accessible by importance sampling, but several model classes still require further investigation. We consider importance sampling simulations of finite capacity queues where interarrival and service times are Erlang distributed. A change of measure is proposed and experimentally studied. Numerical results for loss rates due to buffer overflows indicate that the change of measure provides accurate estimates and appears promising for adaptation to other models involving phase-type distributions.
AB - Importance sampling is a variance reduction technique that is particularly well suited for simulating rare events and, more specifically, estimating rare event probabilities. Properly applied, it often results in tremendous efficiency improvements compared to direct simulation schemes, but it can also yield unbounded variance increase. Its efficiency and robustness critically rely on a suitable change of the underlying probability measure, which is highly model-dependent. In recent years, significant progress greatly broadened the classes of models successfully accessible by importance sampling, but several model classes still require further investigation. We consider importance sampling simulations of finite capacity queues where interarrival and service times are Erlang distributed. A change of measure is proposed and experimentally studied. Numerical results for loss rates due to buffer overflows indicate that the change of measure provides accurate estimates and appears promising for adaptation to other models involving phase-type distributions.
UR - http://www.scopus.com/inward/record.url?scp=77951555643&partnerID=8YFLogxK
U2 - 10.1109/WSC.2009.5429308
DO - 10.1109/WSC.2009.5429308
M3 - Conference contribution
AN - SCOPUS:77951555643
SN - 9781424457700
T3 - Proceedings - Winter Simulation Conference
SP - 1136
EP - 1145
BT - Proceedings of the 2009 Winter Simulation Conference, WSC 2009
T2 - 2009 Winter Simulation Conference, WSC 2009
Y2 - 13 December 2009 through 16 December 2009
ER -