Importance sampling for a Markov modulated queuing network
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Cited by:
- O. J. Boxma & E. J. Cahen & D. Koops & M. Mandjes, 2019. "Linear Stochastic Fluid Networks: Rare-Event Simulation and Markov Modulation," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 125-153, March.
- Fatma Başoğlu Kabran & Ali Devin Sezer, 2022. "Approximation of the exit probability of a stable Markov modulated constrained random walk," Annals of Operations Research, Springer, vol. 310(2), pages 431-475, March.
- Kamil Demirberk Ünlü & Ali Devin Sezer, 2020. "Excessive backlog probabilities of two parallel queues," Annals of Operations Research, Springer, vol. 293(1), pages 141-174, October.
- Thomas Dean & Paul Dupuis, 2011. "The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation," Annals of Operations Research, Springer, vol. 189(1), pages 63-102, September.
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Keywords
Dynamic importance sampling Rare event simulation Tandem queues Queuing networks Markov modulated Regime switch Overflow probability Large deviations Isaacs equation Optimal control;Statistics
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