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SCS

Seminar

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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