Linear Stochastic Fluid Networks: Rare-Event Simulation and Markov Modulation
نویسندگان
چکیده
منابع مشابه
Linear Stochastic Fluid Networks
We introduce open stochastic fluid networks that can be regarded as continuous analogs or fluid limits of open networks of infinite-server queues. Random exogenous input may come to any of the queues. At each queue, a cdf-valued stochastic process governs the proportion of the input processed by a given time after arrival. The routing may be deterministic (a specified sequence of successive que...
متن کاملRare Event Extinction on Stochastic Networks
We consider the problem of extinction processes on random networks with a given structure. For sufficiently large well-mixed populations, the process of extinction of one or more state variable components occurs in the tail of the quasi-stationary probability distribution, thereby making it a rare event. Here we show how to extend the theory of large deviations to random networks to predict ext...
متن کاملRare-Event Simulation for Distribution Networks
Authors are encouraged to submit new papers to INFORMS journals by means of a style file template, which includes the journal title. However, use of a template does not certify that the paper has been accepted for publication in the named journal. INFORMS journal templates are for the exclusive purpose of submitting to an INFORMS journal and should not be used to distribute the papers in print ...
متن کاملRare-Event Simulation for Markov-Modulated Heavy-Tailed Random Walks
In this paper, we develop efficient rare event simulation methodology for Markov modulated heavy-tailed random walks. Model formulation and problem setup: Consider a random walk Sn = ∑n k=1Xk, n = 1, 2, . . . on R that is modulated by a Markov chain {Yn : n = 1, 2, . . .} living on a complete separable metric space Y. In particular, Xn = f(Yn, Jn) where {Jn, n = 1, 2, . . .} are i.i.d. r.v.’s l...
متن کاملAutomated Rare Event Simulation for Stochastic Petri Nets
We introduce an automated approach for applying rare event simulation to stochastic Petri net (SPN) models of highly reliable systems. Rare event simulation can be much faster than standard simulation because it is able to exploit information about the typical behaviour of the system. Previously, such information came from heuristics, human insight, or analysis on the full state space. We prese...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2018
ISSN: 1387-5841,1573-7713
DOI: 10.1007/s11009-018-9644-1