On Efficiency of Multilevel Splitting

References

• Dean , T. , Dupuis , P. ( 2009 ). Splitting for rare event simulation: A large deviation approach to design and analysis . Stochastic Processes and Their Applications 19 : 562 – 587 .
   Web of Science ®Google Scholar
• Dupuis , P. , Ellis , R. S. ( 1997 ). A Weak Convergence Approach to the Theory of Large Deviations . New York : Wiley .
   Google Scholar
• Dupuis , P. , Sezer , A. D. , Wang , H. ( 2007 ). Dynamic importance sampling for queueing networks . Annals of Applied Probability 17 ( 4 ): 1306 – 1346 .
   Web of Science ®Google Scholar
• Dupuis , P. , Wang , H. ( 2009 ). Importance sampling for Jackson networks . Queueing Systems 62 ( 1–2 ): 113 – 157 .
   Web of Science ®Google Scholar
• Glasserman , P. , Heidelberger , P. , Shahabuddin , P. , Zajic , T. ( 1996 ). Multilevel splitting for estimating rare event probabilities. IBM Research Report RC 20478 .
   Google Scholar
• Glynn , P. W. , Whitt , W. ( 1992 ). An asymptotic efficiency of simulation estimators . Operations Research 40 ( 3 ): 505 – 520 .
   Web of Science ®Google Scholar
• Heidelberger , P. ( 1995 ). Fast simulation of rare events in queueing and reliability models . ACM Transactions on Modeling and Computer Simulation 5 ( 1 ): 43 – 85 .
   Google Scholar
• Malhotra , R. , Mandjes , M. , Scheinhardt , W. , van den Berg , H. ( 2009 ). A feedback fluid queue with two congestion control thresholds . Mathematical Methods in Operations Research 70 : 149 – 169 .
   Web of Science ®Google Scholar
• Miretskiy , D. I. , Scheinhardt , W. R. W. , Mandjes , M. R. H. ( 2008 ). Simple and efficient importance sampling scheme for a tandem queue with server slow-down. Proc. of RESIM 2008. Rennes, France, pp. 38–50 .
   Google Scholar
• Miretskiy , D. I. , Scheinhardt , W. R. W. , Mandjes , M. R. H. ( 2009 ). State-dependent importance sampling for a slow-down tandem queue . Annals of Operations Research 189 : 299 – 329 .
   Web of Science ®Google Scholar
• Miretskiy , D. I. , Scheinhardt , W. R. W. , Mandjes , M. R. H. ( 2009 ). Rare-event simulation for tandem queues: a simple and efficient importance sampling scheme. Proc. of NET-COOP. Eindhoven, The Netherlands, pp. 107–120 .
   Google Scholar
• Miretskiy , D. I. , Scheinhardt , W. R. W. , Mandjes , M. R. H. (2010). State-dependent importance sampling for a Jackson tandem network. In ACM Transactions on Modeling and Computer Simulation 20(3):Article 15.
   Google Scholar
• Noureddine , W. , Tobagi , F. ( 1999 ). Selective back-pressure in switched Ethernet LANs. Proc. of Global Telecommunications Conference. Vol. 2. Rio de Janeiro, Brazil, pp. 1256–1263 .
   Google Scholar
• Shahabuddin , P. ( 1995 ). Rare event simulation in stochastic models. Proc. of the 1995 Winter Simulation Conference. Arlington, VA, pp. 178–185 .
   Google Scholar
• Van Foreest , N. D. , Mandjes , M. R. H. , van Ommeren , J. C. W. , Scheinhardt , W. R. W. ( 2005 ). A tandem queue with server slow-down and blocking . Stochastic Models 21 ( 2–3 ): 695 – 724 .
   Web of Science ®Google Scholar
• Villén-Altamirano , M. , Villén-Altamirano , J. ( 2006 ). On the efficiency of Restart for multidimensional state systems . ACM Transactions on Modeling and Computer Simulation 16 ( 3 ): 251 – 279 .
   Web of Science ®Google Scholar