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Statistical optimization of dynamic importance sampling parameters for efficient simulation of communication networks

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2 Author(s)
Devetsikiotis, M. ; Dept. of Electr. & Comput. Eng., North Carolina State Univ., Raleigh, NC, USA ; Townsend, J.K.

Importance sampling (IS) is a powerful method for reducing simulation run times when estimating the probabilities of rare events in communication systems using Monte Carlo simulation and is made feasible and effective for the simulation of networks of queues by regenerative techniques. However, using the most favorable IS settings very often makes the length of regeneration cycles infinite or impractically long. To address this problem, a methodology that uses IS dynamically within each regeneration cycle to drive the system back to the regeneration state after an accurate estimate has been obtained is discussed. A statistically based technique for optimizing IS parameter values for simulations of queueing systems, including complex systems with bursty arrival processes, is formulated. A deterministic variant of stochastic simulated annealing (SA), called mean field annealing (MFA), is used to minimize statistical estimates of the IS estimator variance. The technique is demonstrated by evaluating blocking probabilities

Published in:

Networking, IEEE/ACM Transactions on  (Volume:1 ,  Issue: 3 )

Date of Publication:

Jun 1993

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