Efficient calculation of rare event probabilities in Markovian queueing networks. Mikeev, L., Sandmann, W., & Wolf, V. In VALUETOOLS 2011 - 5th International ICST Conference on Performance Evaluation Methodologies and Tools, 2011. doi abstract bibtex We address the computation of rare event probabilities in Markovian queueing networks with huge or possibly even infinite state spaces. For this purpose, we incorporate ideas from importance sampling simulations into a non-simulative numerical method that approximates transient probabilities based on a dynamical truncation of the state space. A change of measure technique is applied in order to accomplish a guided state space exploration. Numerical results for three different example networks demonstrate the efficiency and accuracy of our method. Copyright © 2011 ICST.
@inproceedings{
title = {Efficient calculation of rare event probabilities in Markovian queueing networks},
type = {inproceedings},
year = {2011},
keywords = {[Importance sampling, Markov chains, Queueing netw},
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abstract = {We address the computation of rare event probabilities in Markovian queueing networks with huge or possibly even infinite state spaces. For this purpose, we incorporate ideas from importance sampling simulations into a non-simulative numerical method that approximates transient probabilities based on a dynamical truncation of the state space. A change of measure technique is applied in order to accomplish a guided state space exploration. Numerical results for three different example networks demonstrate the efficiency and accuracy of our method. Copyright © 2011 ICST.},
bibtype = {inproceedings},
author = {Mikeev, L. and Sandmann, W. and Wolf, V.},
doi = {10.4108/icst.valuetools.2011.245597},
booktitle = {VALUETOOLS 2011 - 5th International ICST Conference on Performance Evaluation Methodologies and Tools}
}
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