Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

We propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution in a general large deviations regime. Our estimator is based on an importance sampling strategy that hinges on the heavy-tailed sample path large deviations result recently established in Rhee, Blanchet, and Zwart (2016). The new estimators are straightforward to implement and can be used to systematically evaluate the probability of a wide range of rare events with bounded relative error. They are "universal" in the sense that a single importance sampling scheme applies to a very general class of rare events that arise in heavy-tailed systems. In particular, our estimators can deal with rare events that are caused by multiple big jumps (therefore, beyond the usual principle of a single big jump) as well as multidimensional processes such as the buffer content process of a queueing network. We illustrate the versatility of our approach with several applications that arise in the context of mathematical finance, actuarial science, and queueing theory

Models and algorithms for transient queueing congestion at a hub airport

Includes bibliographical references (p. 35-37).Supported by a grant from Draper Laboratory and a National Science Foundation Graduate Fellowship.Dimitris Bertsimas, Michael D. Peterson and Amedeo R. Odoni

A knowledge-based system for the automatic chronopotentiometric elucidation of electrode reaction mechanisms

A knowledge-based system for the elucidation of electrode reaction mechanisms based on chronopotentiometric experiments is described. The system runs the diagnostic experiments and uses the results in the reasoning process. New mechanistic knowledge can be added directly to its knowledge base in the form of production rules. The system is fully modular and its domain- specific modules can easily be changed for application to other electrochemical techniques. Correct operation of the system is demonstrated with the familiar reduction mechanisms of cadmium (II), zinc (II), cystamine and cinnamaldehyde

Design of testbed and emulation tools

The research summarized was concerned with the design of testbed and emulation tools suitable to assist in projecting, with reasonable accuracy, the expected performance of highly concurrent computing systems on large, complete applications. Such testbed and emulation tools are intended for the eventual use of those exploring new concurrent system architectures and organizations, either as users or as designers of such systems. While a range of alternatives was considered, a software based set of hierarchical tools was chosen to provide maximum flexibility, to ease in moving to new computers as technology improves and to take advantage of the inherent reliability and availability of commercially available computing systems