Importance sampling for non-Markovian tandem queues using subsolutions
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DOI: 10.1007/s11134-019-09623-0
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- Dean, Thomas & Dupuis, Paul, 2009. "Splitting for rare event simulation: A large deviation approach to design and analysis," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 562-587, February.
- Paul Dupuis & Hui Wang, 2007. "Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling," Mathematics of Operations Research, INFORMS, vol. 32(3), pages 723-757, August.
- Anne Buijsrogge & Pieter-Tjerk Boer & Karol Rosen & Werner Scheinhardt, 2017. "Large deviations for the total queue size in non-Markovian tandem queues," Queueing Systems: Theory and Applications, Springer, vol. 85(3), pages 305-312, April.
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Keywords
GI|GI|1 queues; Tandem queues; Rare event simulation; Importance sampling;All these keywords.
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