Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
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Publication:3986805
DOI10.1109/9.106154zbMath0738.60094OpenAlexW2109380050MaRDI QIDQ3986805
Publication date: 27 June 1992
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/9.106154
Monte Carlo methods (65C05) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)
Related Items (21)
Importance sampling for Jackson networks ⋮ ON STATE-INDEPENDENT IMPORTANCE SAMPLING FOR THE GI|GI|1 TANDEM QUEUE1 ⋮ The overflow probability asymptotics in a single-class retrial system with general retrieve time ⋮ On the inefficiency of state-independent importance sampling in the presence of heavy tails ⋮ Large deviations for the total queue size in non-Markovian tandem queues ⋮ Counterexamples in importance sampling for large deviations probabilities ⋮ On asymptotically efficient simulation of ruin probabilities in a Markovian environment ⋮ State-dependent importance sampling for a slowdown tandem queue ⋮ Uncertainty quantification of stochastic simulation for black-box computer experiments ⋮ Efficient simulation of tail probabilities in a queueing model with heterogeneous servers ⋮ Dynamic importance sampling for queueing networks ⋮ Minimization of a class of rare event probabilities and buffered probabilities of exceedance ⋮ Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy ⋮ Simulating tail asymptotics of a Markov chain ⋮ Asymptotically optimal importance sampling for Jackson networks with a tree topology ⋮ Dynamic importance sampling for uniformly recurrent Markov chains ⋮ Importance sampling for non-Markovian tandem queues using subsolutions ⋮ Efficiency improvement techniques ⋮ On Monte Carlo estimation of large deviations probabilities ⋮ Maximum Queue Length and Waiting Time Revisited: Multserver G/G/c Queue ⋮ Rare-Event Simulation for Many-Server Queues
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