Analysis of a splitting estimator for rare event probabilities in Jackson networks
We consider a standard splitting algorithm for the rare-event simulation of overflow probabilities in any subset of stations in a Jackson network at level n, starting at a fixed initial position. It was shown in [8] that a subsolution to the Isaacs equation guarantees that a subexponential number of...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS)
2011-01-01
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| Series: | Stochastic Systems |
| Online Access: | http://www.i-journals.org/ssy/viewarticle.php?id=26&layout=abstract |