Approximation of the exit probability of a stable Markov modulated constrained random walk
Author
Abstract
Suggested Citation
DOI: 10.1007/s10479-020-03693-7
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ridder, Ad, 2009. "Importance sampling algorithms for first passage time probabilities in the infinite server queue," European Journal of Operational Research, Elsevier, vol. 199(1), pages 176-186, November.
- Dean, Thomas & Dupuis, Paul, 2009. "Splitting for rare event simulation: A large deviation approach to design and analysis," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 562-587, February.
- P. T. de Boer & D. P. Kroese & R. Y. Rubinstein, 2004. "A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks," Management Science, INFORMS, vol. 50(7), pages 883-895, July.
- 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.
- Jose Blanchet, 2013. "Optimal Sampling of Overflow Paths in Jackson Networks," Mathematics of Operations Research, INFORMS, vol. 38(4), pages 698-719, November.
- Sezer, Ali Devin, 2009. "Importance sampling for a Markov modulated queuing network," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 491-517, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- K.-P. Hui & N. Bean & M. Kraetzl & Dirk Kroese, 2005. "The Cross-Entropy Method for Network Reliability Estimation," Annals of Operations Research, Springer, vol. 134(1), pages 101-118, February.
- 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.
- Loretta Mastroeni & Giuseppe D'Acquisto & Maurizio Naldi, 2014. "Evaluation of Credit Risk Under Correlated Defaults: The Cross-Entropy Simulation Approach," Departmental Working Papers of Economics - University 'Roma Tre' 0193, Department of Economics - University Roma Tre.
- Kaynar, Bahar & Ridder, Ad, 2010. "The cross-entropy method with patching for rare-event simulation of large Markov chains," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1380-1397, December.
- Zdravko I. Botev & Pierre L’Ecuyer, 2020. "Sampling Conditionally on a Rare Event via Generalized Splitting," INFORMS Journal on Computing, INFORMS, vol. 32(4), pages 986-995, October.
- Ali Kadhem, Athraa & Abdul Wahab, Noor Izzri & Aris, Ishak & Jasni, Jasronita & Abdalla, Ahmed N., 2017. "Computational techniques for assessing the reliability and sustainability of electrical power systems: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 80(C), pages 1175-1186.
- Pieter-Tjerk de Boer & Dirk Kroese & Shie Mannor & Reuven Rubinstein, 2005. "A Tutorial on the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 19-67, February.
- Cheung, Eric C.K. & Rabehasaina, Landy & Woo, Jae-Kyung & Xu, Ran, 2019. "Asymptotic correlation structure of discounted Incurred But Not Reported claims under fractional Poisson arrival process," European Journal of Operational Research, Elsevier, vol. 276(2), pages 582-601.
- Joakim Kalvenes & Neil Keon, 2007. "Traffic Estimation and Capacity Assignment in Multimedia Distribution Networks with Guaranteed Quality of Service," Operations Research, INFORMS, vol. 55(3), pages 518-531, June.
- Anne Buijsrogge & Pieter-Tjerk Boer & Werner R. W. Scheinhardt, 2019. "Importance sampling for non-Markovian tandem queues using subsolutions," Queueing Systems: Theory and Applications, Springer, vol. 93(1), pages 31-65, October.
- Jose Blanchet & Henry Lam, 2014. "Rare-Event Simulation for Many-Server Queues," Mathematics of Operations Research, INFORMS, vol. 39(4), pages 1142-1178, November.
- Hult, Henrik & Nyquist, Pierre, 2016. "Large deviations for weighted empirical measures arising in importance sampling," Stochastic Processes and their Applications, Elsevier, vol. 126(1), pages 138-170.
- M. Garvels, 2011. "A combined splitting—cross entropy method for rare-event probability estimation of queueing networks," Annals of Operations Research, Springer, vol. 189(1), pages 167-185, September.
- Joshua C. C. Chan & Eric Eisenstat, 2015.
"Marginal Likelihood Estimation with the Cross-Entropy Method,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 256-285, March.
- Chan, Joshua & Eisenstat, Eric, 2012. "Marginal Likelihood Estimation with the Cross-Entropy Method," MPRA Paper 40051, University Library of Munich, Germany.
- Joshua C C Chan & Eric Eisenstat, 2012. "Marginal Likelihood Estimation with the Cross-Entropy Method," CAMA Working Papers 2012-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Bahar Kaynar & Ad Ridder, 2009. "The Cross-Entropy Method with Patching for Rare-Event Simulation of Large Markov Chains," Tinbergen Institute Discussion Papers 09-084/4, Tinbergen Institute.
- Cadini, F. & Santos, F. & Zio, E., 2014. "An improved adaptive kriging-based importance technique for sampling multiple failure regions of low probability," Reliability Engineering and System Safety, Elsevier, vol. 131(C), pages 109-117.
- Jianhui Yang & Yaoben Lin, 2019. "Study on Evolution of Food Safety Status and Supervision Policy—A System Based on Quantity, Quality, and Development Safety," Sustainability, MDPI, vol. 11(23), pages 1-13, November.
- Pieter-Tjerk de Boer, 2005. "Rare-Event Simulation of Non-Markovian Queueing Networks Using a State-Dependent Change of Measure Determined Using Cross-Entropy," Annals of Operations Research, Springer, vol. 134(1), pages 69-100, February.
More about this item
Keywords
Markov modulation; Regime switch; Multidimensional constrained random walks; Exit probabilities; Rare events; Queueing systems; Characteristic surface; Superharmonic functions; Affine transformation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:310:y:2022:i:2:d:10.1007_s10479-020-03693-7. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.