This project develops probably efficient techniques for
the simulation of rare events in non- Markovian queueing networks, motivated by
the need to accurately estimate failure probabilities in practical systems.
This project will move into an unexplored area of stochastic discrete-event
simulation, and is challenging as it is a novel combination of three aspects:
the non-Markovian nature of the systems, the study of networks of queues rather
than single queues, and the aim of achieving provably efficient results. These
three aspects have been studied separately before, but not in combination.
This project follows the
importance sampling approach, in which a so-called change of measure is applied
to make the event of interest less rare, and aims for three major advances: (i)
establishment of relations between non-Markovian queueing networks and other
problems; (ii) strategies to decide when and how the change of measure needs to
be state-dependent; (iii) construction of good changes of measure with
The proposed research is highly
relevant – because most realistic models are non-Markovian – and timely in the
sense that comparable advances for the Markovian-network case have been
obtained only recently, and study of the non-Markovian case constitutes a
natural, yet highly challenging, next step.
Dr.ir. P.T. de Boer
Dr.ir. W.R.W. Scheinhardt
Centre for Safety and
Security in Smart Societies (C.S4)
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