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Numerical Methods for Stochastic Networks

Glynn, P (Stanford)
Tuesday 23 March 2010, 14:00-15:00

Seminar Room 1, Newton Institute


This talk will provide an overview of two numerical methods that are relevant to the computational study of stochastic networks. Specifically, we will discuss a simulation-based algorithm that focuses on rare events in the setting of many-server loss networks. We will also discuss a linear programming approach to computing the equilibrium distribution of a Brownian network model. This work is joint with Jose Blanchet, Henry Lam, Denis Saure, and Assaf Zeevi.


[ppt ]


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