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A rational approximation approach to rare event probability estimation for high-performance systems

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2 Author(s)
Bao, G. ; Dept. of Electr. & Comput. Eng., Massachusetts Univ., Amherst, MA, USA ; Cassandras, C.G.

We derive first and second derivative estimators of the buffer overflow probability (defined as the probability that the queue length at steady state exceeds an integer value k) with respect to a service process parameter in a GI/G/1 queueing system using perturbation analysis techniques, The derivative estimates are obtained from a single sample path (simulation) generated at a parameter value where buffer overflow events are not rare and used to construct the response surface over a region where these events are relatively rare. We show that this response surface can be used to estimate rare event probabilities over certain parameter ranges of interest

Published in:

Decision and Control, 1995., Proceedings of the 34th IEEE Conference on  (Volume:1 )

Date of Conference:

13-15 Dec 1995

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