Fast Simulation of Overflow Probabilities in Multiclass Queues

- Journal title : Communications for Statistical Applications and Methods
- Volume 14, Issue 2, 2007, pp.287-299
- Publisher : The Korean Statistical Society
- DOI : 10.5351/CKSS.2007.14.2.287

Title & Authors

Fast Simulation of Overflow Probabilities in Multiclass Queues

Lee, Ji-Yeon; Bae, Kyung-Soon;

Lee, Ji-Yeon; Bae, Kyung-Soon;

Abstract

We consider a multiclass queue where queued customers are served in their order of arrival at a rate which depends on the customer type. By using the asymptotic results obtained by Dabrowski et al. (2006) we calculate the sharp asymptotics of the stationary distribution of the number of customers of each class in the system and the distribution of the number of customers of each class when the total number of customers reaches a high level before emptying. We also obtain a fast simulation algorithm to estimate the overflow probability and compare it with the general simulation and asymptotic results.

Keywords

Multiclass queues;fast simulation;change of measures;stationary distributions;overflow probabilities;

Language

Korean

Cited by

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