Rare event simulation techniques for models of computer and communication systems

Abstract

This talk reviews some of the fast simulation techniques used for estimating probabilities of rare events and related quantities in stochastic models of computer and communication systems. It is by no means a complete survey of these rare event simulation techniques. However, an attempt will be made to give some of the basic concepts, intuitions, and algorithms used for different types of stochastic models. The reader is referred to Heidelberger (1995) and Shahabuddin (1995) for recent comprehensive surveys in this area, and the reference list of Boots and Shahabuddin (2000) for some of the later papers in this area. Estimations of the small probabilities of rare events are required in the design and operation of many engineering systems. Consider the case of a telecommunication network. It is customary to model such systems as network of queues, with each queue having a buffer of finite capacity. Information packets that arrive to a queue when its buffer is full are lost. The rare event of interest may be the event of a packet being lost. Current regulations stipulate that the probability of packet loss should not exceed 10 to the power-9. Or in a reliability model of a space craft computer, we may be interested in estimating the probability of the event that th