Efficient Calculation of Rare Event Probabilities in Markovian Queueing Networks
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.
Type
Publication
VALUETOOLS ‘11: Proceedings of the 5th International ICST Conference on Performance Evaluation Methodologies and Tools. International ICST Conference on Performance Evaluation Methodologies and Tools (VALUETOOLS-2011), May 16-20, Paris, France
Cite
@inproceedings{mikeevEfficientCalculationOfRare2011,
author = {Linar Mikeev and Werner Sandmann and Verena Wolf},
booktitle = {VALUETOOLS '11: Proceedings of the 5th International ICST Conference on Performance Evaluation Methodologies and Tools. International ICST Conference on Performance Evaluation Methodologies and Tools (VALUETOOLS-2011), May 16-20, Paris, France},
doi = {10.4108/icst.valuetools.2011.245597},
editor = {Samson Lasaulce and Dieter Fiems and Pete Harrison and Luc Vandendorpe},
isbn = {978-1-936968-09-1},
month = {5},
pages = {186-196},
publisher = {ACM},
title = {Efficient Calculation of Rare Event Probabilities in Markovian Queueing Networks},
year = {2011}
}