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SUMMARY:Rare event simulation for stochastics networks - Blanchet\, J (Col
 umbia)
DTSTART:20100621T081000Z
DTEND:20100621T090000Z
UID:TALK25311@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We shall discuss several importance sampling techniques for ef
 ficient estimation of overfow probabilities or sampling conditional paths 
 in stochastic networks. We are interested in a wide class of environments 
 including light-tailed and heavy-tailed networks. Our discussion includes 
 algorithms that are optimal in the sense of achieving the best possible ra
 te of convergence as the associated large deviations parameter increases. 
 For instance\, in the case of arbitrary Jackson networks our estimators ar
 e strongly efficient and we can generate exact conditional overflow paths 
 in linear time (as a function of the overflow level). This talk is based o
 n joint work with Peter Glynn\, Henry Lam\, Kevin Leder\, Chenxin Li and J
 ingchen Liu.
LOCATION:Seminar Room 1\, Newton Institute
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