Abstract
We consider importance sampling simulation for estimating the probability of reaching large total number of customers in an (Formula presented.) 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.
Original language | English |
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Pages (from-to) | 849-866 |
Number of pages | 18 |
Journal | Simulation |
Volume | 97 |
Issue number | 12 |
DOIs | |
Publication status | Published - 2021 |
Keywords
- importance sampling
- M|M|1 tandem queue
- rare event simulation
- subsolutions