TY - JOUR
T1 - Importance sampling for Markovian tandem queues using subsolutions
T2 - exploring the possibilities
AU - Buijsrogge, Anne
AU - de Boer, Pieter Tjerk
AU - Scheinhardt, Werner R.W.
N1 - Funding Information:
The author(s) disclosed receipt of the following financial support for the research, authorship, and/or publication of this article: This work is supported by the Netherlands Organisation for Scientific Research (NWO), project number 613.001.105.
Publisher Copyright:
© The Author(s) 2021.
PY - 2021/12
Y1 - 2021/12
N2 - We consider importance sampling simulation for estimating the probability of reaching large total number of customers in an (Formula presented.) tandem queue, during a busy cycle of the system. Our main result is a procedure for obtaining a family of asymptotically efficient changes of measure based on subsolutions. We explicitly show these families for two-node tandem queues and we find that there exist more asymptotically efficient changes of measure based on subsolutions than currently available in literature.
AB - We consider importance sampling simulation for estimating the probability of reaching large total number of customers in an (Formula presented.) tandem queue, during a busy cycle of the system. Our main result is a procedure for obtaining a family of asymptotically efficient changes of measure based on subsolutions. We explicitly show these families for two-node tandem queues and we find that there exist more asymptotically efficient changes of measure based on subsolutions than currently available in literature.
KW - importance sampling
KW - M|M|1 tandem queue
KW - rare event simulation
KW - subsolutions
UR - http://www.scopus.com/inward/record.url?scp=85114856985&partnerID=8YFLogxK
U2 - 10.1177/00375497211041351
DO - 10.1177/00375497211041351
M3 - Article
AN - SCOPUS:85114856985
SN - 0037-5497
VL - 97
SP - 849
EP - 866
JO - Simulation
JF - Simulation
IS - 12
ER -