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Fast simulation of Markov fluid models

Published online by Cambridge University Press:  14 July 2016

Ad Ridder
Ad Ridder*
Affiliation:
Free University of Amsterdam
*
∗Postal address: Econometrics, Free University of Amsterdam, De Boelelaan 1105, 1081 HV Amsterdam, Netherlands.
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Abstract

In this paper we study continuous flow finite buffer systems with input rates modulated by Markov chains. Discrete event simulations are applied for estimating loss probabilities. The simulations are executed under a twisted version of the original probability measure (importance sampling). We present a simple rule for determining a new measure, then show that the new measure matches the ‘most likely' empirical measure that we expect from large deviations arguments, and finally prove optimality of the new measure.

Keywords

CONTINUOUS FLOW SYSTEMSIMPORTANCE SAMPLINGLARGE DEVIATIONSOVERFLOW PROBABILITYAMS 1991 SUBJECT CLASSIFICATION90B1260F1065C05
Type
Research Papers
Information
Journal of Applied Probability , Volume 33 , Issue 3 , September 1996 , pp. 786 - 803
Copyright
Copyright © Applied Probability Trust 1996 

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