Importance Sampling for Weighted-Serve-the-Longest-Queue

• 成果类型: Article
• 署名作者: Dupuis, Paul; Leder, Kevin; Wang, Hui
• 署名单位: Brown University; Columbia University
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1090.0389
• 发表日期: 2009
• 页码: 642-660
• 关键词: large deviations; Join

摘要

This paper considers buffer over flow probabilities for stable queueing systems with one server and different classes of arrivals. The service priority is given to the class of customers whose current weighted queue size is the largest (weighted-serve-the-longest-queue policy). We explicitly identify the exponential decay rate for the rare-event probabilities of interest and construct asymptotically optimal importance-sampling schemes for simulation.