5th International ICST Conference on Performance Evaluation Methodologies and Tools

Research Article

Efficient Calculation of Rare Event Probabilities in Markovian Queueing Networks

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  • @INPROCEEDINGS{10.4108/icst.valuetools.2011.245597,
        author={Linar Mikeev and Werner Sandmann and Verena Wolf},
        title={Efficient Calculation of Rare Event Probabilities in Markovian Queueing Networks},
        proceedings={5th International ICST Conference on Performance Evaluation Methodologies and Tools},
        publisher={ICST},
        proceedings_a={VALUETOOLS},
        year={2012},
        month={6},
        keywords={queueing networks markov chains rare events importance sampling transient analysis},
        doi={10.4108/icst.valuetools.2011.245597}
    }
    
  • Linar Mikeev
    Werner Sandmann
    Verena Wolf
    Year: 2012
    Efficient Calculation of Rare Event Probabilities in Markovian Queueing Networks
    VALUETOOLS
    ICST
    DOI: 10.4108/icst.valuetools.2011.245597
Linar Mikeev1, Werner Sandmann2, Verena Wolf1,*
  • 1: Saarland University
  • 2: Clausthal University of Technology
*Contact email: wolf@cs.uni-saarland.de

Abstract

We address the computation of rare event probabilities in Markovian queueing networks with huge or possibly even infinite state spaces. For this purpose, we incorporate ideas from importance sampling simulations into a non-simulative numerical method that approximates transient probabilities based on a dynamical truncation of the state space. A change of measure technique is applied in order to accomplish a guided state space exploration. Numerical results for three different example networks demonstrate the efficiency and accuracy of our method.