Philip Heidelberger
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Abstract
This paper surveys efficient techniques for estimating, via simulation, the probabilities of certain rare events in queueing and reliability models. The rare events of interest are long waiting times or buffer overflows in queueing systems, and system failure events in reliability models of highly dependable computing systems. The general approach to speeding up such simulations is to accelerate the occurrence of the rare events by using importance sampling. In importance sampling, the system is simulated using a new set of input probability distributions, and unbiased estimates are recovered by multiplying the simulation output by a likelihood ratio. Our focus is on describing asymptotically optimal importance sampling techniques. Using asymptotically optimal importance sampling, the number of samples required to get accurate estimates grows slowly compared to the rate at which the probability of the rare event approaches zero. In practice, this means that run lengths can be reduced by many orders of magnitude, compared to standard simulation. In certain cases, asymptotically optimal importance sampling results in estimates having bounded relative error. With bounded relative error, only a fixed number of samples are required to get accurate estimates, no matter how rare the event of interest is. The queueing systems studied include simple queues (e.g., GI/GI/1), Jackson networks, discrete time queues with multiple autocorrelated arrival processes that arise in the analysis of Asynchronous Transfer Mode communications switches, and tree structured networks of such switches. Both Markovian and non-Markovian reliability models are treated.
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- Fast simulation of rare events in queueing and reliability models
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Reviews
Taghi J. Mirsepassi
Heidelberger has written a clear, well-organized paper on estimating rare events. It is highly recommended to those interested in queueing and reliability simulations. In a brief introduction, using some practical cases, the author first describes the problems associated with the simulation of rare events. He then mentions some of the complex rare-event cases that have been efficiently simulated using a simple, basic approach called importance sampling [1]. In the subsequent 10 pages, the basic concepts of importance sampling and the likelihood ratio are presented. Readers familiar with reliability and queueing modeling will have no difficulty in following the discussions. In the following 25 pages, the author applies importance sampling to the single-server queue, the multiple-server queue, networks of queues, reliability models, Markovian models, and non-Markovian reliability models. Finally, an elaborate list of references completes the paper.
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