Fast simulation of overflow probabilities in a queue with Gaussian input

@article{Dieker2006FastSO,
  title={Fast simulation of overflow probabilities in a queue with Gaussian input},
  author={A. B. Dieker and Michel Mandjes},
  journal={ACM Trans. Model. Comput. Simul.},
  year={2006},
  volume={16},
  pages={119-151}
}
  • A. B. Dieker, Michel Mandjes
  • Published in TOMC 2006
  • Computer Science, Mathematics
  • ACM Trans. Model. Comput. Simul.
  • In this article, we study a queue fed by a large number n of independent discrete-time Gaussian processes with stationary increments. We consider the many-sources asymptotic regime, that is, the buffer-exceedance threshold B and the service capacity C are scaled by the number of sources (B ≡ nb and C ≡ nc).We discuss four methods for simulating the steady-state probability that the buffer threshold is exceeded: the single-twist method (suggested by large deviation theory), the cut-and-twist… CONTINUE READING

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