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Difficult queuing simulation problems: rare-event simulation for infinite server queues

Published: 08 December 2002 Publication History

Abstract

We discuss rare-event simulation methodology for computing tail probabilities for infinite-server queues. Our theoretical discussion also offers some new simulation insights into the change-of-measure associated with the Gärtner-Ellis theorem of large deviations.

References

[1]
Bucklew, J. A. 1990. Large Deviations Techniques in Decision, Simulation, and Estimation. New York: Wiley.
[2]
Dembo, A., and T. Zajic. 1995. Large Deviations: From Empirical Mean and Measure to Partial Sum Process. Stoc. Proc. and Appl. 57: 191--224.
[3]
Dembo, A., and O. Zeitouni. 1998. Large Deviations Techniques and Applications. New York: Springer-Verlag.
[4]
Glynn, P. W., and W. Whitt. 1994. Large Deviations Behavior of Counting Processes and their Inverses. Queueing Systems 17: 107--128.
[5]
Glynn, P. W. 1995. Large Deviations for the Infinite Server Queue in Heavy Traffic. IMA Volume 71 in Mathematics and its Applications. New York: Springer-Verlag 387--395.
[6]
Ross, S. H. 1983. Stochastic Processes. New York: Wiley.

Cited By

View all
  • (2018)Functional central limit theorems for stationary Hawkes processes and application to infinite-server queuesQueueing Systems: Theory and Applications10.1007/s11134-018-9570-590:1-2(161-206)Online publication date: 1-Oct-2018
  • (2011)Importance sampling for actuarial cost analysis under a heavy traffic modelProceedings of the Winter Simulation Conference10.5555/2431518.2431972(3817-3828)Online publication date: 11-Dec-2011
  • (2011)Exact asymptotic for infinite-server queuesProceedings of the 6th International Conference on Queueing Theory and Network Applications10.1145/2021216.2021231(101-106)Online publication date: 23-Aug-2011

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Published In

cover image ACM Conferences
WSC '02: Proceedings of the 34th conference on Winter simulation: exploring new frontiers
December 2002
2143 pages
ISBN:0780376153
  • General Chair:
  • Jane L. Snowdon,
  • Program Chair:
  • John M. Charnes

Sponsors

  • INFORMS/CS: Institute for Operations Research and the Management Sciences/College on Simulation
  • IIE: Institute of Industrial Engineers
  • ASA: American Statistical Association
  • ACM: Association for Computing Machinery
  • SIGSIM: ACM Special Interest Group on Simulation and Modeling
  • IEEE/CS: Institute of Electrical and Electronics Engineers/Computer Society
  • NIST: National Institute of Standards and Technology
  • (SCS): The Society for Modeling and Simulation International
  • IEEE/SMCS: Institute of Electrical and Electronics Engineers/Systems, Man, and Cybernetics Society

Publisher

Winter Simulation Conference

Publication History

Published: 08 December 2002

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Conference

WSC02
Sponsor:
  • INFORMS/CS
  • IIE
  • ASA
  • ACM
  • SIGSIM
  • IEEE/CS
  • NIST
  • (SCS)
  • IEEE/SMCS
WSC02: Winter Simulation Conference 2002
December 8 - 11, 2002
California, San Diego

Acceptance Rates

WSC '02 Paper Acceptance Rate 166 of 185 submissions, 90%;
Overall Acceptance Rate 3,413 of 5,075 submissions, 67%

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Cited By

View all
  • (2018)Functional central limit theorems for stationary Hawkes processes and application to infinite-server queuesQueueing Systems: Theory and Applications10.1007/s11134-018-9570-590:1-2(161-206)Online publication date: 1-Oct-2018
  • (2011)Importance sampling for actuarial cost analysis under a heavy traffic modelProceedings of the Winter Simulation Conference10.5555/2431518.2431972(3817-3828)Online publication date: 11-Dec-2011
  • (2011)Exact asymptotic for infinite-server queuesProceedings of the 6th International Conference on Queueing Theory and Network Applications10.1145/2021216.2021231(101-106)Online publication date: 23-Aug-2011

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