Communications for Statistical Applications and Methods

  • 제7권2호
  • /
  • Pages.499-511
  • /
  • 2000
  • /
  • 2287-7843(pISSN)
  • /
  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Fast Simulation for Excessive Backlogs in Tandem Networks

  • 발행 : 2000.08.01
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초록

We consider a stable tandem network which consists of two M/M/1 nodes and study the probability that the total backlog exceeds a large level N. Since the excessive backlog is a rare event, it is difficult to estimate this probability efficiently by using the crude Monte Carlo simulation. Instead we perform the ;$h$-transform proposed by McDonald(1999) to obtain the twisted network, in which the node with the larger load is overloaded. Then we use it to run the fast simulation.

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참고문헌

  1. IEEE Transactions on Automatic Control v.36 Optimally Efficient Estmation of the Statistics of Pare Events in Queueing Networks Frater, M.R.;Lennon, T.M.;Anderson, B.D.O
  2. ACM Transactions on Modeling and Computer Simulation v.5 Fast Simulation of Rare Events in Queueing and Reliability Models Heidelberger, P.
  3. Annals of Applied Probability v.9 Asymptotics of First Passage Times for Random Walk in an Orthant McDonald, D.
  4. IEEE Transactions on Automatic Control v.34 A Quick Simulation Method for Excessive Backlogs in Networks of Queues Parekh, S;Walrand, J.
  5. Advances in Applied Probability v.25 Induced Rare Events:Analysis via Large Deviations and Time Reversal Schwartz, A.;Weiss, A.
  6. Large Deviations and Applications Varadhan, S.R.S.
  7. An Introduction to Queueing Network Walrand, J.