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

Anne Buijsrogge; Pieter Tjerk de Boer; Werner R.W. Scheinhardt

doi:10.1177/00375497211041351

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 journal › Article › Academic › peer-review

2 Citations (Scopus)

153 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 language	English
Pages (from-to)	849-866
Number of pages	18
Journal	Simulation
Volume	97
Issue number	12
Early online date	13 Sept 2021
DOIs	https://doi.org/10.1177/00375497211041351
Publication status	Published - Dec 2021

Keywords

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

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10.1177/00375497211041351Licence: CC BY

Importance samplingFinal published version, 991 KBLicence: CC BY

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title = "Importance sampling for Markovian tandem queues using subsolutions: exploring the possibilities",

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.",

keywords = "importance sampling, M|M|1 tandem queue, rare event simulation, subsolutions",

author = "Anne Buijsrogge and \{de Boer\}, \{Pieter Tjerk\} and Scheinhardt, \{Werner R.W.\}",

note = "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: {\textcopyright} The Author(s) 2021.",

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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 - https://www.scopus.com/pages/publications/85114856985

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ER -

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

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Keywords

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