Anne Buijsrogge: Importance sampling for non-Markovian tandem queues
01 maart 2021 16:00 | Zet in mijn agenda
The impact of rare events on society can be huge, hence it is very important to study such events.
In this talk, I am interested in estimating the probability to reach a large number of customers in a tandem queue during a busy cycle of the system, using importance sampling simulation. I present how we determine a state-dependent change of measure, and give some insights in how to prove that this change of measure gives an asymptotically efficient estimator for the probability of interest.
This is joint work with Pieter-Tjerk de Boer and Werner Scheinhardt