This paper surveys efficient techniques for estimating, via simulation, the probabilities of
certain rare events in queueing and reliability models. The rare events of interest are long …

Importance sampling (IS) is a simulation technique which aims to reduce the variance (or
other cost function) of a given simulation estimator. In communication systems, this usually …

Discrete event simulation systems (DESS) are widely used in many diverse areas such as
computer-communication networks, flexible manufacturing systems, project evaluation and …

Providing performance guarantees is one of the most important issues for future
telecommunication networks. This book describes theoretical developments in performance …

This book is an attempt to present a unified theory of rare event simulation and the variance
reduction technique known as importance sampling from the point of view of the probabilistic …

Importance sampling is one of the classical variance reduction techniques for increasing the
efficiency of Monte Carlo algorithms for estimating integrals. The basic idea is to replace the …

The theory of large deviations provides a simple unified basis for statistical mechanics,
information theory and queueing theory. The objective of this paper is to use large deviation …

We analyze the performance of a splitting technique for the estimation of rare event
probabilities by simulation. A straightforward estimator of the probability of an event …

For years computer-based stochastic simulation has been a commonly used tool in the
performance evaluation of various systems. Unfortunately, the results of simulation studies …

In this chapter we review some of the recent developments for efficient estimation of rare-
events, most of which involve application of importance sampling techniques to achieve …