Importance sampling for non-Markovian tandem queues using subsolutions

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

*Corresponding author for this work

    Research output: Contribution to journalArticleAcademicpeer-review

    1 Citation (Scopus)
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    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 languageEnglish
    Pages (from-to)31-65
    Number of pages35
    JournalQueueing systems
    Volume93
    Issue number1-2
    Early online date16 Jul 2019
    DOIs
    Publication statusPublished - 1 Oct 2019

    Keywords

    • GI|GI|1 queues
    • Importance sampling
    • Rare event simulation
    • Tandem queues

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