Numerical Methods for Stochastic Networks
Seminar Room 1, Newton Institute
This talk will provide an overview of two numerical methods that are relevant to the computational study of stochastic networks. Specifically, we will discuss a simulation-based algorithm that focuses on rare events in the setting of many-server loss networks. We will also discuss a linear programming approach to computing the equilibrium distribution of a Brownian network model. This work is joint with Jose Blanchet, Henry Lam, Denis Saure, and Assaf Zeevi.