Importance sampling for non-Markovian tandem queues using subsolutions

DOI10.1007/S11134-019-09623-0MaRDI QIDQ2294085zbMATH OpenOpenAlexFDO

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

Publication date 10 February 2020

Published in Queueing Systems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11134-019-09623-0

zbMATH Keywords

importance samplingrare event simulationtandem queues\textit{GI}|\textit{GI}|1 queues

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

Recommendations

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Cites work

• A quick simulation method for excessive backlogs in networks of queues
• Alternative proof and interpretations for a recent state-dependent importance sampling scheme
• Analysis of an importance sampling estimator for tandem queues
• Analysis of state-independent importance-sampling measures for the two-node tandem queue
• Dynamic importance sampling for queueing networks
• Fast simulation of buffer overflows in tandem networks of \(GI/GI/1\) queues
• Importance sampling for Jackson networks
• Large deviations for the total queue size in non-Markovian tandem queues
• Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
• Splitting for rare event simulation: A large deviation approach to design and analysis
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

Cited in

(4)

• Optimal importance sampling for Markovian systems with applications to tandem queues
• Analysis of state-independent importance-sampling measures for the two-node tandem queue
• ON STATE-INDEPENDENT IMPORTANCE SAMPLING FOR THE GI|GI|1 TANDEM QUEUE¹
• State-dependent importance sampling for a slowdown tandem queue

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