Importance sampling for weighted-serve-the-longest-queue

Paul Dupuis, Kevin Leder, Hui Wang

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

This paper considers buffer overflow 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.

Original languageEnglish (US)
Pages (from-to)642-660
Number of pages19
JournalMathematics of Operations Research
Volume34
Issue number3
DOIs
StatePublished - Aug 1 2009

Keywords

  • Importance sampling
  • Isaacs equation
  • Monte Carlo
  • Rare events
  • Simulation

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