7 research outputs found
A new, analysis-based, change of measure for tandem queues
In this paper, we introduce a simple analytical approximation for the overflow probability of a two-node tandem queue. From this, we derive a change of measure, which turns out to have good performance in almost the entire parameter space. The form of our new change of measure sheds an interesting new light on earlier changes of measure for the same problem, because here the transition zone from one measure to another - that they all have - arises naturally.\u
Analysis of a Splitting Estimator for Rare Event Probabilities in Jackson Networks
We consider a standard splitting algorithm for the rare-event simulation of
overflow probabilities in any subset of stations in a Jackson network at level
n, starting at a fixed initial position. It was shown in DeanDup09 that a
subsolution to the Isaacs equation guarantees that a subexponential number of
function evaluations (in n) suffice to estimate such overflow probabilities
within a given relative accuracy. Our analysis here shows that in fact
O(n^{2{\beta}+1}) function evaluations suffice to achieve a given relative
precision, where {\beta} is the number of bottleneck stations in the network.
This is the first rigorous analysis that allows to favorably compare splitting
against directly computing the overflow probability of interest, which can be
evaluated by solving a linear system of equations with O(n^{d}) variables.Comment: 23 page
Interim research assessment 2003-2005 - Computer Science
This report primarily serves as a source of information for the 2007 Interim Research Assessment Committee for Computer Science at the three technical universities in the Netherlands. The report also provides information for others interested in our research activities