*********************************
There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
*********************************
TITLE: Rare Event Simulation for Many Server Queues
SPEAKER: Dr. Jose Blanchet
ABSTRACT:
Our focus is on the development of provably efficient simulation algorithms for estimating large deviations probabilities (such as overflow probabilities) in the context of many server queues. These types of systems, which have been the subject of much investigation in recent years, pose interesting challenges from a rare event simulation standpoint, given their measure valued state descriptor. We shall explain a technique that has the following elements. First, it introduces a pivotal set that is suitable chosen to deal with boundary-type behavior, which is common in the analysis of queueing systems. Second, it takes advantage of Central Limit Theorem approximations that have been developed recently for these types of systems and third it use a novel bridge-sampling approach in order to describe an asymptotically optimal (in certain sense) importance sampling scheme. This work provides the first systematic approach to develop provably efficient rare-event simulation methodology for these types of systems.
(Joint work with P. Glynn and H. Lam)
Bio:
Jose Blanchet is a faculty member of the IEOR at Columbia University.
Jose holds a Ph.D. in Management Science and Engineering from Stanford
University. Prior to joining Columbia he was a faculty member in the
Statistics Department at Harvard University. Jose is a recipient of the
2009 Best Publication Award given by the INFORMS Applied Probability
Society and a CAREER award in Operations Research given by NSF in 2008.
He worked as an analyst in Protego Financial Advisors, a leading
investment bank in Mexico. He has research interests in applied
probability and Monte Carlo methods. He serves in the editorial board of
Advances in Applied Probability, Journal of Applied Probability, QUESTA
and TOMACS.
