Large deviations and fast simulation in the presence of boundaries
Let [tau](x)=inf{t>0: Q(t)[greater-or-equal, slanted]x} be the time of first overflow of a queueing process {Q(t)} over level x (the buffer size) and . Assuming that {Q(t)} is the reflected version of a Lévy process {X(t)} or a Markov additive process, we study a variety of algorithms for estimating z by simulation when the event {[tau](x)[less-than-or-equals, slant]T} is rare, and analyse their performance. In particular, we exhibit an estimator using a filtered Monte Carlo argument which is logarithmically efficient whenever an efficient estimator for the probability of overflow within a busy cycle (i.e., for first passage probabilities for the unrestricted netput process) is available, thereby providing a way out of counterexamples in the literature on the scope of the large deviations approach to rare events simulation. We also add a counterexample of this type and give various theoretical results on asymptotic properties of , both in the reflected Lévy process setting and more generally for regenerative processes in a regime where T is so small that the exponential approximation for [tau](x) is not a priori valid.
Year of publication: |
2002
|
---|---|
Authors: | Asmussen, Søren ; Fuckerieder, Pascal ; Jobmann, Manfred ; Schwefel, Hans-Peter |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 102.2002, 1, p. 1-23
|
Publisher: |
Elsevier |
Keywords: | Buffer overflow Exponential change of measure Filtered Monte Carlo Importance sampling Lévy process Local time Queueing theory Rare event Reflection Regenerative process Saddlepoint |
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