{"48190":{"#nid":"48190","#data":{"type":"event","title":"Rare Event Simulation for Many Server Queues","body":[{"value":"\u003Cp\u003E\u003Cstrong\u003ETITLE:\u003C\/strong\u003E\u0026nbsp; Rare Event Simulation for Many Server Queues\n\u003C\/p\u003E\u003Cp\u003E\u003Cstrong\u003ESPEAKER: \u003C\/strong\u003EDr. Jose Blanchet\u003C\/p\u003E\u003Cp\u003E\u003Cstrong\u003EABSTRACT:\u003C\/strong\u003E\u003C\/p\u003E\u003Cp\u003EOur focus is on the development of provably efficient simulation \nalgorithms for estimating large deviations probabilities (such as \noverflow probabilities) in the context of many server queues. These \ntypes of systems, which have been the subject of much investigation in \nrecent years, pose interesting challenges from a rare event simulation \nstandpoint, given their measure valued state descriptor. We shall \nexplain a technique that has the following elements. First, it \nintroduces a pivotal set that is suitable chosen to deal with \nboundary-type behavior, which is common in the analysis of queueing \nsystems. Second, it takes advantage of Central Limit Theorem \napproximations that have been developed recently for these types of \nsystems and third it use a novel bridge-sampling approach in order to \ndescribe an asymptotically optimal (in certain sense) importance \nsampling scheme. This work provides the first systematic approach to \ndevelop provably efficient rare-event simulation methodology for these \ntypes of systems.\n\u003C\/p\u003E\u003Cp\u003E(Joint work with P. Glynn and H. Lam)\n\u003C\/p\u003E\u003Cp\u003E\u003Cstrong\u003EBio:\u003C\/strong\u003E\u003C\/p\u003E\u003Cp\u003EJose Blanchet is a faculty member of the IEOR at Columbia University. \nJose holds a Ph.D. in Management Science and Engineering from Stanford \nUniversity. Prior to joining Columbia he was a faculty member in the \nStatistics Department at Harvard University. Jose is a recipient of the \n2009 Best Publication Award given by the INFORMS Applied Probability \nSociety and a CAREER award in Operations Research given by NSF in 2008. \nHe worked as an analyst in Protego Financial Advisors, a leading \ninvestment bank in Mexico. He has research interests in applied \nprobability and Monte Carlo methods. He serves in the editorial board of \nAdvances in Applied Probability, Journal of Applied Probability, QUESTA \nand TOMACS.\n\u003Cbr \/\u003E\n\u003Cbr \/\u003E\n\u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":"","field_summary_sentence":"","uid":"27187","created_gmt":"2010-01-04 12:47:12","changed_gmt":"2016-10-08 01:49:23","author":"Anita Race","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2010-01-26T10:00:00-05:00","event_time_end":"2010-01-26T11:00:00-05:00","event_time_end_last":"2010-01-26T11:00:00-05:00","gmt_time_start":"2010-01-26 15:00:00","gmt_time_end":"2010-01-26 16:00:00","gmt_time_end_last":"2010-01-26 16:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[{"id":"167045","name":"simulation"}],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[{"value":"\u003Cp\u003EDr. Ton Dieker\u003C\/p\u003E","format":"limited_html"}],"email":[],"slides":[],"orientation":[],"userdata":""}}}