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.
Original language | English |
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Pages (from-to) | 31-65 |
Number of pages | 35 |
Journal | Queueing systems |
Volume | 93 |
Issue number | 1-2 |
Early online date | 16 Jul 2019 |
DOIs | |
Publication status | Published - 1 Oct 2019 |
Keywords
- GI|GI|1 queues
- Importance sampling
- Rare event simulation
- Tandem queues