6533b85afe1ef96bd12b8a60

RESEARCH PRODUCT

A Quick Simulation Technique for a Fluid Information Storage Problem

Luigi AlcuriGiuseppe D'acquisto

subject

Mathematical optimizationMarkov chainComputer scienceSample size determinationMonte Carlo methodEstimatorElectrical and Electronic EngineeringClosed-form expressionMultiplexerAlgorithmImportance samplingBuffer overflow

description

Summary In this paper we present an application of Importance Sampling (IS) for quick simulation of buffer overflow probability in a statistical multiplexer loaded with a number of independent Markov modulated fluid sources. Runtime improvement is deducible from NMCσ2(p) and NISσ2(p*) that characterize the trade-offs between sample size and variance of the estimators of buffer overflow probability experienced in Monte Carlo (MC) and Importance Sampling simulations. By assuming that the same precision is achieved for the two kinds of simulations if σ2(p)=σ2(p*), an approximate closed form expression for the ratio NIS/NMC is derived, and it is minimized with respect to the load of the multiplexer. In the final part of the paper some numerical examples are presented to illustrate the benefits of IS in evaluating very low overflow probabilities.

yearjournalcountryeditionlanguage
2001-01-01AEU - International Journal of Electronics and Communications
https://doi.org/10.1078/1434-8411-00011