Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Fast Simulation for Excessive Backlogs in Tandem Networks

  • Published : 2000.08.01
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Abstract

We consider a stable tandem network which consists of two M/M/1 nodes and study the probability that the total backlog exceeds a large level N. Since the excessive backlog is a rare event, it is difficult to estimate this probability efficiently by using the crude Monte Carlo simulation. Instead we perform the ;$h$-transform proposed by McDonald(1999) to obtain the twisted network, in which the node with the larger load is overloaded. Then we use it to run the fast simulation.

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References

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