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  1. P. Lassila and J. Virtamo, Using Gibbs Sampler in Simulating Multiservice Loss Systems, in Performance of Information and Communications Systems '98 (arranged by IFIP TC6 WG6.3), 1998, Lund, Sweden (bib)
    Abstract: In this article we consider the problem of calculating the blocking probabilities of calls in a multiservice network by using simulation. Traditional simulation methods become computationally intensive as the state space grows. We develop a method that alleviates this problem. The method is based on using the so called Gibbs sampler to generate a Markov chain with the desired stationary distribution. In particular, by making an additional ``virtual'' step from each state and calculating the expected contribution from this step analytically, we are able to collect information from a subset of the state space for each generated sample. This leads to a smaller variance of the estimate for a given computational effort.