Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Estimation of Overflow Probabilities in Parallel Networks with Coupled Inputs

  • Lee, Jiyeon (Department of Statistics, Yeungnam University) ;
  • Kweon, Min Hee (Department of Statistics, Yeungnam University)
  • Published : 2001.04.01
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Abstract

The simulation is used to estimate an overflow probability in a stable parallel network with coupled inputs. Since the general simulation needs extremely many trials to obtain such a small probability, the fast simulation is proposed to reduce trials instead. By using the Cramer’s theorem, we first obtain an optimally changed measure under which the variance of the estimator is minimized. Then, we use it to derive an importance sampling estimator of the overflow probability which enables us to perform the fast simulation.

Keywords

References

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