Rare-Event Simulation for Many-Server Queues
成果类型：
Article
署名作者：
Blanchet, Jose; Lam, Henry
署名单位：
Columbia University; Columbia University; Boston University
刊物名称：
MATHEMATICS OF OPERATIONS RESEARCH
ISSN/ISSBN：
0364-765X
DOI：
10.1287/moor.2014.0654
发表日期：
2014
页码：
1142-1178
关键词：
摘要：
We develop rare-event simulation methodology for the analysis of loss events in a many-server loss system under the 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 representation.
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