Blanchet, Jose & Dong, Jing. Exact Sampling of Loss Systems.
Abstract
Exact sampling of loss systems is important in evaluating system performance. We are interested in designing a series of algorithms that allow us to obtain perfect sampling of these systems in steady state.
In this paper, we develop an exact sampling algorithm to simulate steady state infinite server queues, multi-server loss queues and loss networks. Our method is a derivation from the coupling from the past algorithm. The key is to identify a sequence of coupling times and simulate the process backward in time accordingly. In order to simulate the loss system, we use a coupled infinite server system as a dominating process. We then define the coupling time using the same idea as in [Blanchet and Lam]. This dominated coupling from the past algorithm is shown to be efficient in the asymptotic quality driven regime.
Authors
Jose Blanchet, Jing Dong
Publication date
2012
Publisher
preparation
