Stochastic Control and Numerical Methods with Applications to Communications. Game Theoretic/Subsolution to Importance Sampling for Rare Event Simulation

Abstract

Game theoretic methods were developed to greatly improve importance sampling for rare event simulation for stochastic systems and queueing networks that arise in communications. With the same goal in mind, large deviations approach to design and analysis was developed to facilitate rare event simulations for systems with discontinuities in the dynamics and analyze escape events for queueing networks. Results for heavy tailed distributions were obtained. Numerical methods were developed for the solution of non-zero sum stochastic game models. Effective stability based methods for scheduling and routing in networks of mobiles with randomly varying channels were produced and they are also useful with long term memory system.

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 2008
Accession Number
ADA499989

Entities

People

  • Harold Kushner
  • Paul Dupuis

Organizations

  • Brown University

Tags

Communities of Interest

  • Energy and Power Technologies

DTIC Thesaurus Topics

  • Algorithms
  • Calculus Of Variations
  • Complex Systems
  • Computational Fluid Dynamics
  • Computational Science
  • Differential Equations
  • Dynamics
  • Equations
  • Fokker Planck Equations
  • Markov Chains
  • Numerical Analysis
  • Partial Differential Equations
  • Probability
  • Random Variables
  • Sampling
  • Simulations
  • Stochastic Processes

Readers

  • Computer Networking
  • Statistical inference.
  • Systems Analysis and Design