Philip Heidelberger

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This paper surveys efficient techniques for estimating, via simulation, the probabilities of certain rare events in queueing and reliability models. The rare events of interest are long waiting times or buffer overflows in queueing systems, and system failure events in reliability models of highly dependable computing systems. The general approach to(More)
This paper discusses a method for placing confidence limits on the steady state mean of an output sequence generated by a discrete event simulation. An estimate of the variance is obtained by estimating the spectral density at zero frequency. This estimation is accomplished through a regression analysis of the logarithm of the averaged periodogram. By(More)
This paper develops a variance reduction technique for Monte Carlo simulations of path-dependent options driven by high-dimensional Gaussian vectors. The method combines importance sampling based on a change of drift with stratified sampling along a small number of key dimensions. The change of drift is selected through a large deviations analysis and is(More)
Blue Gene/L system architecture A. Gara M. A. Blumrich D. Chen G. L.-T. Chiu P. Coteus M. E. Giampapa R. A. Haring P. Heidelberger D. Hoenicke G. V. Kopcsay T. A. Liebsch M. Ohmacht B. D. Steinmacher-Burow T. Takken P. Vranas The Blue Genet/L computer is a massively parallel supercomputer based on IBM system-on-a-chip technology. It is designed to scale to(More)
interconnection network N. R. Adiga M. A. Blumrich D. Chen P. Coteus A. Gara M. E. Giampapa P. Heidelberger S. Singh B. D. Steinmacher-Burow T. Takken M. Tsao P. Vranas The main interconnect of the massively parallel Blue Genet/L is a three-dimensional torus network with dynamic virtual cut-through routing. This paper describes both the architecture and the(More)
We consider the eecient estimation, via simulation, of very low buuer overrow probabilities in certain acyclic ATM queueing networks. We apply the theory of eeective bandwidths and Markov additive processes to derive an asymptotically optimal simulation scheme for estimating such probabilities for a single queue with multiple independent sources, each of(More)
This is the first paper describing the IBM Blue Gene/Q interconnection network and message unit. The Blue Gene/Q system is the third generation in the IBM Blue Gene line of massively parallel supercomputers. The Blue Gene/Q architecture can be scaled to 20 PF/s and beyond. The network and the highly parallel message unit, which provides the functionality of(More)
The estimation of rare event probabilities poses some of the of the most di cult computational challenges for Monte Carlo simulation and, at the same time, some of the greatest opportunities for e ciency improvement through the use of variance reduction techniques. Current interest in rare events stems primarily from developments in computer and(More)