Fast simulation of overflow probabilities in a queue with Gaussian input

DOI10.1145/1138464.1138466MaRDI QIDQ4565368zbMATH OpenOpenAlexWikidataFDO

Authors A. B. Dieker, M. R. H. Mandjes

Publication date 12 June 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://ir.cwi.nl/pub/4046

zbMATH Keywords

Gaussian processesasymptotic efficiencyimportance samplinglarge deviationsqueueing theoryoverflow probability

Mathematics Subject Classification ID

Gaussian processes (60G15) Probabilistic models, generic numerical methods in probability and statistics (65C20) Queues and service in operations research (90B22)

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Cited in

(8)

• Editorial introduction: special issue on Gaussian queues
• FAST SIMULATION OF A QUEUE FED BY A SUPERPOSITION OF MANY (HEAVY-TAILED) SOURCES
• Exact overflow asymptotics for queues with many Gaussian inputs
• Fast regenerative simulation of overload probability of one-server queues
• A large deviations analysis of the transient of a queue with many Markov fluid inputs: approximations and fast simulation
• On asymptotically efficient simulation of large deviation probabilities
• Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes
• On convergence to stationarity of fractional Brownian storage

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