Computing Reviews
Today's Issue Hot Topics Search Browse Recommended My Account Log In
Review Help
Search
Nearly optimal importance sampling for Monte Carlo simulation of loss systems
Lassila P., Virtamo J. ACM Transactions on Modeling and Computer Simulation10 (4):326-347,2000.Type:Article
Date Reviewed: Jul 1 2001

The research presented in this paper tackles the problem of estimating blocking probabilities in a multiservice loss system via simulation. This approach uses the static Monte Carlo simulation method and applies two importance sampling methods, namely, inverse convolution and Gaussian distribution. The results obtained for the examples presented confirm the importance of the proposed methods. The work relates to Mandjes’s work on using importance sampling with exponentially twisted distributions [1]. However, it is further extended and improved with two effective importance sampling methods, which very closely approximate the generation of samples with the ideal importance sampling distribution. The ideas and methods presented are quite significant. The work documents the proposed methods using suitable mathematical terms and equations, and sufficient numerical examples, to prove its significance. However, further practical case studies could have been provided to justify its intended use.

Reviewer:  George K. Adam Review #: CR125240
1) Mandjes, M. Fast simulation of blocking probabilities in loss networks. Euro. J. Oper. Res. 101 (1997), 393–405.
Bookmark and Share
 
Monte Carlo (I.6.8 ... )
 
 
Queueing Theory (G.3 ... )
 
Would you recommend this review?
yes
no
Other reviews under "Monte Carlo": Date
Random processes in physical systems: an introduction to probability-based computer simulations
Whitney C., John Wiley & Sons, Inc., New York, NY, 1990. Type: Book (9780471517924)
May 1 1991
The mean square discrepancy of randomized nets
Hickernell F. ACM Transactions on Modeling and Computer Simulation 6(4): 274-296, 1996. Type: Article
Aug 1 1997
Towards a polynomial-time randomized algorithm for closed product-form networks
Chen W., O’Cinneide C. ACM Transactions on Modeling and Computer Simulation 8(3): 227-253, 1998. Type: Article
Jun 1 1999
more...

E-Mail This Printer-Friendly
Send Your Comments
Contact Us
Reproduction in whole or in part without permission is prohibited.   Copyright 1999-2024 ThinkLoud®
Terms of Use
| Privacy Policy