Journal ArticleDOI
Induced rare events: analysis via large deviations and time reversal
Adam Shwartz,Alan Weiss +1 more
TLDR
In this paper, the authors apply the notions of reversed time for Markov processes and large deviations for jump-Markov systems to general jump-markov systems and show that the way a constant coefficient process approaches a rare event is roughly by following the path of another constant-coefficient process.Abstract:
When a subsystem goes into an infrequent state, how does the remainder of the system behave? We show how to calculate the relevant distributions using the notions of reversed time for Markov processes and large deviations. For ease of exposition, most of the work deals with a specific queueing model due to Flatto, Hahn, and Wright. However, we show how the theorems may be applied to much more general jump-Markov systems. We also show how the tools of time-reversal and large deviations complement each other to yield general theorems. We show that the way a constant coefficient process approaches a rare event is roughly by following the path of another constant coefficient process. We also obtain some properties, including a priori bounds, for the change of measure associated with some large deviations functionals; these are useful for accelerating simulations.read more
Citations
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Journal ArticleDOI
Reversibility and Stochastic Networks
Journal ArticleDOI
Fast simulation of rare events in queueing and reliability models
TL;DR: In this article, a survey of efficient techniques for estimating the probabilities of certain rare events in queueing and reliability models is presented, where the rare events of interest are long waiting times or buffer overflows in queuing systems and system failure events in reliability models of highly dependable computing systems.
Journal ArticleDOI
Fundamental bounds and approximations for ATM multiplexers with applications to video teleconferencing
TL;DR: An approximation to the steady-state buffer distribution is called Chenoff-dominant eigenvalue, which is effective for analyzing ATM multiplexers, even when the traffic has many, possibly heterogeneous, sources and their models are of high dimension.
Journal ArticleDOI
M-quantile models for small area estimation
Ray Chambers,Nikos Tzavidis +1 more
TL;DR: The M-quantile model as mentioned in this paper is based on modeling quantile-like parameters of the conditional distribution of the target variable given the covariates, which avoids the problems associated with specification of random effects, allowing inter-domain differences to be characterized by the variation of area-specific Mquantile coefficients.
Journal ArticleDOI
Order-Fulfillment Performance Measures in An Assemble-To-Order System with Stochastic Leadtimes
TL;DR: In this article, a multicomponent, multiproduct production and inventory system was studied in which individual components are made to stock but final products are assembled to customer orders, and the key performance measures, including the probability of fulfilling a customer order within any specified time window, were derived.
References
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Book
Markov Processes: Characterization and Convergence
TL;DR: In this paper, the authors present a flowchart of generator and Markov Processes, and show that the flowchart can be viewed as a branching process of a generator.
Journal ArticleDOI
A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
TL;DR: In this paper, it was shown that the likelihood ratio test for fixed sample size can be reduced to this form, and that for large samples, a sample of size $n$ with the first test will give about the same probabilities of error as a sample with the second test.
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Multidimensional Diffusion Processes
TL;DR: In this paper, the authors propose extension theorems, Martingales, and Compactness, as well as the non-unique case of the Martingale problem, and some estimates on the transition probability functions.
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Reversibility and Stochastic Networks
TL;DR: This classic in stochastic network modelling broke new ground when it was published in 1979, and it remains a superb introduction to reversibility and its applications thanks to the author's clear and easy-to-read style.
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