Importance sampling for Markovian tandem queues using subsolutions: exploring the possibilities

Anne Buijsrogge*, Pieter Tjerk de Boer, Werner R.W. Scheinhardt

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

1 Citation (Scopus)
84 Downloads (Pure)

Abstract

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.

Original languageEnglish
Pages (from-to)849-866
Number of pages18
JournalSimulation
Volume97
Issue number12
Early online date13 Sept 2021
DOIs
Publication statusPublished - Dec 2021

Keywords

  • importance sampling
  • M|M|1 tandem queue
  • rare event simulation
  • subsolutions

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