Importance sampling for non-Markovian tandem queues using subsolutions

Anne Buijsrogge (), Pieter-Tjerk Boer () and Werner R. W. Scheinhardt ()
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Anne Buijsrogge: University of Twente
Pieter-Tjerk Boer: University of Twente
Werner R. W. Scheinhardt: University of Twente

Queueing Systems: Theory and Applications, 2019, vol. 93, issue 1, No 3, 65 pages

Abstract: Abstract In this paper, we use importance sampling simulation to estimate the probability that the number of customers in a d-node GI|GI|1 tandem queue reaches some high level N in a busy cycle of the system. We present a state-dependent change of measure for a d-node GI|GI|1 tandem queue based on the subsolution approach, and we prove, under a mild conjecture, that this state-dependent change of measure gives an asymptotically efficient estimator for the probability of interest when all supports are bounded.

Keywords: GI|GI|1 queues; Tandem queues; Rare event simulation; Importance sampling; 60K25; 65C05 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s11134-019-09623-0

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