Importance Sampling Simulation of Population Overflow in Two-node Tandem Networks

In this paper we consider the application of importance sampling in simulations of Markovian tandem networks in order to estimate the probability of rare events, such as network population overflow. We propose a heuristic methodology to obtain a good approximation to the 'optimal' state-dependent change of measure (importance sampling distribution). Extensive experimental results on 2-node tandem networks are very encouraging, yielding asymptotically efficient estimates (with bounded relative error) where no other state-independent importance sampling techniques are known to be efficient The methodology avoids the costly optimization involved in other recently proposed approaches to approximate the 'optimal' state-dependent change of measure. Moreover, the insight drawn from the heuristic promises its applicability to larger networks and more general topologies

Asymptotic optimality of the cross-entropy method for Markov chain problems

The correspondence between the cross-entropy method and the zero-variance approximation to simulate a rare event problem in Markov chains is shown. This leads to a sufficient condition that the cross-entropy estimator is asymptotically optimal.Comment: 13 pager; 3 figure

Analysis of State-Independent Importance-Sampling Measures for the Two-Node Tandem Queue

We investigate the simulation of overflow of the total population of a Markovian two-node tandem queue model during a busy cycle, using importance sampling with a state-independent change of measure. We show that the only such change of measure that may possibly result in asymptotically efficient simulation for large overflow levels is exchanging the arrival rate with the smallest service rate. For this change of measure, we classify the model's parameter space into regions of asymptotic efficiency, exponential growth of the relative error, and infinite variance, using both analytical and numerical techniques

Efficient Heuristics for the Simulation of Buffer Overflow in Series and Parallel Queueing Networks

Many of recent studies have proved the tail equivalence result for Egalitarian Processor Sharing system: [EQUATION], where B (resp. V) is service requirement (resp. sojourn time) of a customer; for PS, g = 1 - ρ. In this paper, we consider time-shared systems in which the server capacity is shared by existing customers in proportion to (dynamic) weights assigned to customers. We consider two systems, 1) in which the weight of a customer depends on it Age (attained service), and 2) in which the weight depends on the residual processing time (RPT). We allow for a parameterized family of weight functions such that the weight associated with a customer that has received a service (or, has a RPT) of x units is ω(x) = xα for some -∞ < α < ∞. We then study the sojourn time of a customer under such scheduling discipline and provide conditions on α for tail equivalence to hold true, and also give the value of g as a function of α

Importance Sampling Simulations of Markovian Reliability Systems using Cross Entropy

This paper reports simulation experiments, applying the cross entropy method suchas the importance sampling algorithm for efficient estimation of rare event probabilities in Markovian reliability systems. The method is compared to various failurebiasing schemes that have been proved to give estimators with bounded relativeerrors. The results from the experiments indicate a considerable improvement ofthe performance of the importance sampling estimators, where performance is mea-sured by the relative error of the estimate, by the relative error of the estimator,and by the gain of the importance sampling simulation to the normal simulation

Alternative proof and interpretations for a recent state-dependent importance sampling scheme

Recently, a state-dependent change of measure for simulating overflows in the two-node tandem queue was proposed by Dupuis et al. (Ann. Appl. Probab. 17(4):1306–1346, 2007), together with a proof of its asymptotic optimality. In the present paper, we present an alternative, shorter and simpler proof. As a side result, we obtain interpretations for several of the quantities involved in the change of measure in terms of likelihood ratios

Efficient Simulation of Population Overflow in Parallel Queues

In this paper we propose a state-dependent importance sampling heuristic to estimate the probability of population overflow in networks of parallel queues. This heuristic approximates the “optimal” state-dependent change of measure without the need for difficult mathematical analysis or costly optimization involved in adaptive methodologies. Comprehensive simulations of networks with an arbitrary number of parallel queues and different traffic intensities yield asymptotically efficient estimates (with relative error increasing sub-linearly in the overflow level) where no other state-independent importance sampling techniques are known to be efficient. The efficiency of the proposed heuristic surpasses those based on adaptive importance sampling algorithms, yet it is easier to determine and implement and scales better for large networks.\u

Importance Sampling for a Markov Modulated Queuing Network with Customer Impatience until the End of Service

For more than two decades, there has been a growing of interest in fast simulation techniques for estimating probabilities of rare events in queuing networks. Importance sampling is a variance reduction method for simulating rare events. The present paper carries out strict deadlines to the paper by Dupuis et al for a two node tandem network with feedback whose arrival and service rates are modulated by an exogenous finite state Markov process. We derive a closed form solution for the probability of missing deadlines. Then we have employed the results to an importance sampling technique to estimate the probability of total population overflow which is a rare event. We have also shown that the probability of this rare event may be affected by various deadline values.Importance Sampling, Queuing Network, Rare Event, Markov Process, Deadline

Estimating the Probability of a Rare Event Over a Finite Time Horizon

We study an approximation for the zero-variance change of measure to estimate the probability of a rare event in a continuous-time Markov chain. The rare event occurs when the chain reaches a given set of states before some fixed time limit. The jump rates of the chain are expressed as functions of a rarity parameter in a way that the probability of the rare event goes to zero when the rarity parameter goes to zero, and the behavior of our estimators is studied in this asymptotic regime. After giving a general expression for the zero-variance change of measure in this situation, we develop an approximation of it via a power series and show that this approximation provides a bounded relative error when the rarity parameter goes to zero. We illustrate the performance of our approximation on small numerical examples of highly reliableMarkovian systems. We compare it to a previously proposed heuristic that combines forcing with balanced failure biaising. We also exhibit the exact zero-variance change of measure for these examples and compare it with these two approximations