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

EUROPEAN CONFERENCE ON QUEUEING THEORY 2016

International audienceThis booklet contains the proceedings of the second European Conference in Queueing Theory (ECQT) that was held from the 18th to the 20th of July 2016 at the engineering school ENSEEIHT, Toulouse, France. ECQT is a biannual event where scientists and technicians in queueing theory and related areas get together to promote research, encourage interaction and exchange ideas. The spirit of the conference is to be a queueing event organized from within Europe, but open to participants from all over the world. The technical program of the 2016 edition consisted of 112 presentations organized in 29 sessions covering all trends in queueing theory, including the development of the theory, methodology advances, computational aspects and applications. Another exciting feature of ECQT2016 was the institution of the Takács Award for outstanding PhD thesis on "Queueing Theory and its Applications"

A Statistical Model Checker for Nondeterminism and Rare Events

A great publication

Convergence of adaptive morphological filters in the context of Markov chains

A typical parameterized r-opening *r is a filter defined as a union of openings by a collection of compact, convex structuring elements, each of which is governed by a parameter vector r. It reduces to a single parameter r-opening filter by a set of structuring elements when r is a scalar sizing parameter. The parameter vector is adjusted by a set of adaptation rules according to whether the re construction Ar derived from r correctly or incorrectly passes the signal and noise grains sampled from the image. Applied to the signal-union-noise model, the optimization problem is to find the vector of r that minimizes the Mean-Absolute-Error between the filtered and ideal image processes. The adaptive r-opening filter fits into the framework of Markov processes, the adaptive parameter being the state of the process. For a single parameter r-opening filter, we proved that there exists a stationary distribution governing the parameter in the steady state and convergence is characterized in terms of the steady-state distribution. Key filter properties such as parameter mean, parameter variance, and expected error in the steady state are characterized via the stationary distribution. Steady-state behavior is compared to the optimal solution for the uniform model, for which it is possible to derive a closed-form solution for the optimal filter. We also developed the Markov adaptation system for multiparameter opening filters and provided numerical solutions to some special cases. For multiparameter r-opening filters, various adaptive models derived from various assumptions on the form of the filter have been studied. Although the state-probability increment equations can be derived from the appropriate Chapman-Kolmogorov equations, the closed-form representation of steady-state distributions is mathematically problematic due to the support geometry of the boundary states and their transitions. Therefore, numerical methods are employed to approximate for steady state probability distributions. The technique developed for conventional opening filters is also applied to bandpass opening filters. In present thesis study, the concept of signal and noise pass sets plays a central role throughout the adaptive filter analysis. The pass set reduces to the granulometric measure (or {&r}-measure) of the signal and noise grain. Optimization and adaptation are characterized in terms of the distribution of the granulometric measures for single parameter filters, or in terms of the multivariate distribution of the signal and noise pass sets. By introducing these concepts, this thesis study also provides some optimal opening filter error equations. It has been shown in the case of the uniform distribution of single sizing parameter that there is a strong agreement between the adaptive filter and optimal filter based on analytic error minimization. This agreement has been also demonstrated in various r-opening filters. Furthermore, the probabilistic interpretation has a close connection to traditional linear adaptive filter theory. The method has been applied to the classical grain separation (clutter removal) problem. *See content for correct numerical representation

Perturbation and stability theory for Markov control problems

A unified approach to the asymptotic analysis of a Markov decision process disturbed by an ε-additive perturbation is proposed. Irrespective of whether the perturbation is regular or singular, the underlying control problem that needs to be understood is the limit Markov control problem. The properties of this problem are the subject of this study

The effect of workload dependence in systems: Experimental evaluation, analytic models, and policy development

This dissertation presents an analysis of performance effects of burstiness (formalized by the autocorrelation function) in multi-tiered systems via a 3-pronged approach, i.e., experimental measurements, analytic models, and policy development. This analysis considers (a) systems with finite buffers (e.g., systems with admission control that effectively operate as closed systems) and (b) systems with infinite buffers (i.e., systems that operate as open systems).;For multi-tiered systems with a finite buffer size, experimental measurements show that if autocorrelation exists in any of the tiers in a multi-tiered system, then autocorrelation propagates to all tiers of the system. The presence of autocorrelated flows in all tiers significantly degrades performance. Workload characterization in a real experimental environment driven by the TPC-W benchmark confirms the existence of autocorrelated flows, which originate from the autocorrelated service process of one of the tiers. A simple model is devised that captures the observed behavior. The model is in excellent agreement with experimental measurements and captures the propagation of autocorrelation in the multi-tiered system as well as the resulting performance trends.;For systems with an infinite buffer size, this study focuses on analytic models by proposing and comparing two families of approximations for the departure process of a BMAP/MAP/1 queue that admits batch correlated flows, and whose service time process may be autocorrelated. One approximation is based on the ETAQA methodology for the solution of M/G/1-type processes and the other arises from lumpability rules. Formal proofs are provided: both approximations preserve the marginal distribution of the inter-departure times and their initial correlation structures.;This dissertation also demonstrates how the knowledge of autocorrelation can be used to effectively improve system performance, D_EQAL, a new load balancing policy for clusters with dependent arrivals is proposed. D_EQAL separates jobs to servers according to their sizes as traditional load balancing policies do, but this separation is biased by the effort to reduce performance loss due to autocorrelation in the streams of jobs that are directed to each server. as a result of this, not all servers are equally utilized (i.e., the load in the system becomes unbalanced) but performance benefits of this load unbalancing are significant

Some aspects of traffic control and performance evaluation of ATM networks

The emerging high-speed Asynchronous Transfer Mode (ATM) networks are expected to integrate through statistical multiplexing large numbers of traffic sources having a broad range of statistical characteristics and different Quality of Service (QOS) requirements. To achieve high utilisation of network resources while maintaining the QOS, efficient traffic management strategies have to be developed. This thesis considers the problem of traffic control for ATM networks. The thesis studies the application of neural networks to various ATM traffic control issues such as feedback congestion control, traffic characterization, bandwidth estimation, and Call Admission Control (CAC). A novel adaptive congestion control approach based on a neural network that uses reinforcement learning is developed. It is shown that the neural controller is very effective in providing general QOS control. A Finite Impulse Response (FIR) neural network is proposed to adaptively predict the traffic arrival process by learning the relationship between the past and future traffic variations. On the basis of this prediction, a feedback flow control scheme at input access nodes of the network is presented. Simulation results demonstrate significant performance improvement over conventional control mechanisms. In addition, an accurate yet computationally efficient approach to effective bandwidth estimation for multiplexed connections is investigated. In this method, a feed forward neural network is employed to model the nonlinear relationship between the effective bandwidth and the traffic situations and a QOS measure. Applications of this approach to admission control, bandwidth allocation and dynamic routing are also discussed. A detailed investigation has indicated that CAC schemes based on effective bandwidth approximation can be very conservative and prevent optimal use of network resources. A modified effective bandwidth CAC approach is therefore proposed to overcome the drawback of conventional methods. Considering statistical multiplexing between traffic sources, we directly calculate the effective bandwidth of the aggregate traffic which is modelled by a two-state Markov modulated Poisson process via matching four important statistics. We use the theory of large deviations to provide a unified description of effective bandwidths for various traffic sources and the associated ATM multiplexer queueing performance approximations, illustrating their strengths and limitations. In addition, a more accurate estimation method for ATM QOS parameters based on the Bahadur-Rao theorem is proposed, which is a refinement of the original effective bandwidth approximation and can lead to higher link utilisation