Importance Sampling for a Markov Modulated Queuing Network with Customer Impatience until the End of Service

Ebrahim Mahdipour (), Amir Masoud Rahmani () and Saeed Setayeshi ()

Informatica Economica, 2009, vol. 13, issue 3, 106-118

Abstract: For more than two decades, there has been a growing of interest in fast simulation techniques for estimating probabilities of rare events in queuing networks. Importance sampling is a variance reduction method for simulating rare events. The present paper carries out strict deadlines to the paper by Dupuis et al for a two node tandem network with feedback whose arrival and service rates are modulated by an exogenous finite state Markov process. We derive a closed form solution for the probability of missing deadlines. Then we have employed the results to an importance sampling technique to estimate the probability of total population overflow which is a rare event. We have also shown that the probability of this rare event may be affected by various deadline values.

Keywords: Importance Sampling; Queuing Network; Rare Event; Markov Process; Deadline (search for similar items in EconPapers)
Date: 2009
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://revistaie.ase.ro/content/51/102%20-%20Mahdi ... ani,%20Setayeshi.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aes:infoec:v:13:y:2009:i:3:p:106-118

Access Statistics for this article

Informatica Economica is currently edited by Ion Ivan

More articles in Informatica Economica from Academy of Economic Studies - Bucharest, Romania Contact information at EDIRC.
Bibliographic data for series maintained by Paul Pocatilu ().