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- Title
Importance sampling for non-Markovian tandem queues using subsolutions.
- Authors
Buijsrogge, Anne; de Boer, Pieter-Tjerk; Scheinhardt, Werner R. W.
- 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.
- Subjects
QUEUING theory; PROBABILITY theory; LOGICAL prediction
- Publication
Queueing Systems, 2019, Vol 93, Issue 1/2, p31
- ISSN
0257-0130
- Publication type
Article
- DOI
10.1007/s11134-019-09623-0