Importance sampling simulations of phase-type queues

Poul E. Heegaard, Werner Sandmann

Publikation: Beitrag in Buch/Bericht/KonferenzbandKonferenzbeitragBegutachtung

1 Zitat (Scopus)

Abstract

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.

OriginalspracheEnglisch
TitelProceedings of the 2009 Winter Simulation Conference, WSC 2009
Seiten1136-1145
Seitenumfang10
DOIs
PublikationsstatusVeröffentlicht - 2009
Extern publiziertJa
Veranstaltung2009 Winter Simulation Conference, WSC 2009 - Austin, TX, USA/Vereinigte Staaten
Dauer: 13 Dez. 200916 Dez. 2009

Publikationsreihe

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736

Konferenz

Konferenz2009 Winter Simulation Conference, WSC 2009
Land/GebietUSA/Vereinigte Staaten
OrtAustin, TX
Zeitraum13/12/0916/12/09

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