Communications in Information and Systems

Volume 3 (2003)

Number 4

Peformance Analysis Conditioned on Rare Events: An Adaptive Simulation Scheme

Pages: 259 – 278

DOI: http://dx.doi.org/10.4310/CIS.2003.v3.n4.a3

Authors

V. S. Borkar

S. Juneja

A. A. Kherani

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.

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