Importance sampling for Markovian tandem queues using subsolutions: exploring the possibilities. (December 2021)

• Record Type: Journal Article
• Authors: Buijsrogge, Anne; de Boer, Pieter-Tjerk; Scheinhardt, Werner R W
• Is Part Of: Simulation. Volume 97:Number 12(2021)
• Page Start: 849
• Page End: 866
• Publication Date: 2021-12
• Subjects: M|M|1 tandem queue -- rare event simulation -- importance sampling -- subsolutions; Computer simulation -- Periodicals; 003.3
• DOI: 10.1177/00375497211041351
• Languages: English
• ISSNs: 0037-5497

Abstract

We consider importance sampling simulation for estimating the probability of reaching large total number of customers in anM | M | 1 tandem queue, during a busy cycle of the system. Our main result is a procedure for obtaining a family of asymptotically efficient changes of measure based on subsolutions. We explicitly show these families for two-node tandem queues and we find that there exist more asymptotically efficient changes of measure based on subsolutions than currently available in literature.