Rare-event simulation for many-server queues

DOI10.1287/MOOR.2014.0654MaRDI QIDQ5247615zbMATH OpenOpenAlexFDO

Authors Henry Lam, Jose Blanchet

Publication date 24 April 2015

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.3422

zbMATH Keywords

large deviationsrare-event simulationmany-server queues

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Central limit and other weak theorems (60F05) Queueing theory (aspects of probability theory) (60K25)

Abstract: We develop rare-event simulation methodology for the analysis of loss events in a many-server loss system under quality-driven regime, focusing on the steady-state loss probability (i.e. fraction of lost customers over arrivals) and the behavior of the whole system leading to loss events. The analysis of these events requires working with the full measure-valued process describing the system. This is the first algorithm that is shown to be asymptotically optimal, in the rare-event simulation context, under the setting of many-server queues involving a full measure-valued descriptor.

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Cited in

(11)

• Editorial: rare-event simulation for queues
• Rare events in series of queues
• Uncertainty quantification of stochastic simulation for black-box computer experiments
• scientific article; zbMATH DE number 879791 (Why is no real title available?)
• Rare event simulation for a slotted time M/G/s model
• scientific article; zbMATH DE number 5560392 (Why is no real title available?)
• Uncertainty quantification and confidence intervals for naive rare-event estimators
• Rare events in queueing systems -- A survey
• Diffusion Approximation for Efficiency-Driven Queues When Customers Are Patient
• Efficient simulation of tail probabilities in a queueing model with heterogeneous servers
• Rare-event simulation for neural network and random forest predictors

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