Importance Sampling for Weighted-Serve-the-Longest-Queue

Authors:
Paul Dupuis;Kevin Leder;Hui Wang
Affiliations:
Division of Applied Mathematics, Brown University, Providence, Rhode Island 02912;Department of Industrial Engineering and Operations Research, Columbia University, New York, New York 10027;Division of Applied Mathematics, Brown University, Providence, Rhode Island 02912
Venue:
Mathematics of Operations Research
Year:
2009

Citing 3
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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.