Large deviations and importance sampling for a tandem network with slow-down

Paul Dupuis, Kevin Leder, Hui Wang

Research output: Contribution to journalArticlepeer-review

20 Scopus citations

Abstract

We consider a variant of the two-node tandem Jackson network where the upstream server reduces its service rate when the downstream queue exceeds some prespecified threshold. The rare event of interest is the overflow of the downstream queue. Based on a game/subsolution approach, we rigorously identify the exponential decay rate of the rare event probabilities and construct asymptotically optimal importance sampling schemes.

Original languageEnglish (US)
Pages (from-to)71-83
Number of pages13
JournalQueueing Systems
Volume57
Issue number2-3
DOIs
StatePublished - Nov 1 2007

Keywords

  • Admission control
  • Importance sampling
  • Large deviations
  • Tandem network

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