Efficient important sampling for a feed-forward network
Wang, H; Setayeshgar, L (Brown)
Tuesday 22 June 2010, 14:15-15:05
Seminar Room 1, Newton Institute
Abstract
We consider a feedforward network with a single server station serving two classes of jobs, where one
class of jobs has preemptive priority over the other. The rare event of interest is total population overflow. We rigorously identify the large deviation rate of the rare event probabilities and construct piecewise constant, asymptotically optimal importance sampling schemes.
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