Large deviations and importance sampling for a tandem network with slow-down

Paul Dupuis; Kevin Leder; Hui Wang

doi:10.1007/s11134-007-9048-3

Large deviations and importance sampling for a tandem network with slow-down

Paul Dupuis, Kevin Leder, Hui Wang

Industrial and Systems Engineering

Research output: Contribution to journal › Article › peer-review

20 Scopus citations

Abstract

We consider a variant of the two-node tandem Jackson network where the upstream server reduces its service rate when the downstream queue exceeds some prespecified threshold. The rare event of interest is the overflow of the downstream queue. Based on a game/subsolution approach, we rigorously identify the exponential decay rate of the rare event probabilities and construct asymptotically optimal importance sampling schemes.

Original language	English (US)
Pages (from-to)	71-83
Number of pages	13
Journal	Queueing Systems
Volume	57
Issue number	2-3
DOIs	https://doi.org/10.1007/s11134-007-9048-3
State	Published - Nov 2007

Bibliographical note

Funding Information:
Research of P. Dupuis supported in part by the National Science Foundation (NSF-DMS-0404806 and NSF-DMS-0706003) and the Army Research Office (W911NF-05-1-0289). Research of K. Leder supported in part by the National Science Foundation (NSF-DMS-0404806 and NSF-DMS-0706003). Research of H. Wang supported in part by the National Science Foundation (NSF-DMS-0404806 and NSF-DMS-0706003).

Keywords

Admission control
Importance sampling
Large deviations
Tandem network

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10.1007/s11134-007-9048-3

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abstract = "We consider a variant of the two-node tandem Jackson network where the upstream server reduces its service rate when the downstream queue exceeds some prespecified threshold. The rare event of interest is the overflow of the downstream queue. Based on a game/subsolution approach, we rigorously identify the exponential decay rate of the rare event probabilities and construct asymptotically optimal importance sampling schemes.",

keywords = "Admission control, Importance sampling, Large deviations, Tandem network",

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AU - Leder, Kevin

AU - Wang, Hui

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PY - 2007/11

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N2 - We consider a variant of the two-node tandem Jackson network where the upstream server reduces its service rate when the downstream queue exceeds some prespecified threshold. The rare event of interest is the overflow of the downstream queue. Based on a game/subsolution approach, we rigorously identify the exponential decay rate of the rare event probabilities and construct asymptotically optimal importance sampling schemes.

AB - We consider a variant of the two-node tandem Jackson network where the upstream server reduces its service rate when the downstream queue exceeds some prespecified threshold. The rare event of interest is the overflow of the downstream queue. Based on a game/subsolution approach, we rigorously identify the exponential decay rate of the rare event probabilities and construct asymptotically optimal importance sampling schemes.

KW - Admission control

KW - Importance sampling

KW - Large deviations

KW - Tandem network

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ER -

Large deviations and importance sampling for a tandem network with slow-down

Abstract

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