Performance analysis conditioned on rare events: an adaptive simulation scheme

Borkar, V. S. ; Juneja, S. ; Kherani, A. A. (2004) Performance analysis conditioned on rare events: an adaptive simulation scheme Communications in Information and Systems, 3 (4). pp. 259-278. ISSN 1526-7555

[img]
Preview
PDF - Publisher Version
271kB

Official URL: http://www.ims.cuhk.edu.hk/~cis/2003.4/borkar_etal...

Abstract

We consider the problem of simulation-based estimation of performance measures for a Markov chain conditioned on a rare event. The conditional law depends on the solution of a multiplicative Poisson equation. An adaptive scheme for learning the latter is proposed and analyzed. An example motivated by a well known problem in communication networks is given. Applications of the basic scheme to other related domains such as importance sampling for rare event simulation and the solution of a class of eigenvalue problems are also sketched.

Item Type:Article
Source:Copyright of this article belongs to International Press.
Keywords:Conditional Performance Analysis; Multiplicative Poisson Equation; Stochastic Approximation; Adaptive Simulation; Reinforcement Learning
ID Code:81458
Deposited On:06 Feb 2012 05:22
Last Modified:18 May 2016 23:00

Repository Staff Only: item control page