Jose Blanchet, Henry Lam (2014) Rare-Event Simulation for Many-Server Queues. Mathematics of Operations Research 39(4):1142-1178. https://doi.org/10.1287/moor.2014.0654

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Abstract

We develop rare-event simulation methodology for the analysis of loss events in a many-server loss system under the quality-driven regime, focusing on the steady-state loss probability (i.e., fraction of lost customers over arrivals) and the behavior of the whole system leading to loss events. The analysis of these events requires working with the full measure-valued process describing the system. This is the first algorithm that is shown to be asymptotically optimal, in the rare-event simulation context, under the setting of many-server queues involving a full measure-valued representation.

Authors
Jose Blanchet, Henry Lam
Publication date
2014/11
Journal
Mathematics of Operations Research
Volume
39
Issue
4
Pages
1142-1178
Publisher
INFORMS