待ち行列モデルのシミュレーション : 稀な現象の生起確率の推定(<特集>待ち行列の数理)

概要

論文の詳細を見る
This paper gives an overview of importance sampling simulation techniques for queueing models with rare events. The importance sampling technique is known to be effective in estimating the probability to occur rare events: simulate a modified probability distribution so as to generate more "rare" events and estimate the true value by multiplying the likelihood ratio to correct the bias. The key to the success of this technique is how to select appropriate modified distributions. The large deviation principle provides the powerful tool to this problem. This paper discusses about the exponential twisting distribution transform based on the large deviation principle. Dynamic distribution transform technique is also discussed, which is effective for the steady state simulation.
日本応用数理学会の論文
1999-06-15