Perfect sampling of GI/GI/c queues

Jose Blanchet (), Jing Dong () and Yanan Pei ()
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Jose Blanchet: Stanford University
Jing Dong: Columbia University
Yanan Pei: Columbia University

Queueing Systems: Theory and Applications, 2018, vol. 90, issue 1, No 1, 33 pages

Abstract: Abstract We introduce the first class of perfect sampling algorithms for the steady-state distribution of multi-server queues with general interarrival time and service time distributions. Our algorithm is built on the classical dominated coupling from the past protocol. In particular, we use a coupled multi-server vacation system as the upper bound process and develop an algorithm to simulate the vacation system backward in time from stationarity at time zero. The algorithm has finite expected termination time with mild moment assumptions on the interarrival time and service time distributions.

Keywords: Perfect sampling; FCFS multi-server queue; Dominated coupling from the past; Random walks; 60K25 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s11134-018-9573-2

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