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 language | English (US) |
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Pages (from-to) | 642-660 |
Number of pages | 19 |
Journal | Mathematics of Operations Research |
Volume | 34 |
Issue number | 3 |
DOIs | |
State | Published - Aug 2009 |
Keywords
- Importance sampling
- Isaacs equation
- Monte Carlo
- Rare events
- Simulation