Estimation of Stationary Loss Probability in a Queuing System with Recurrent Input Flows

Authors:
A. A. Shumskaya
Affiliations:
Physics and Engineering Institute, National Technical University of Ukraine “Kiev Polytechnical Institute,” Kiev, Ukraine kuznetsov@probability.kiev.ua
Venue:
Cybernetics and Systems Analysis
Year:
2004

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Abstract

A multiserver queuing system with recurrent input flows is considered. A fast simulation method is proposed for evaluation of stationary loss probability. It is based on the joint use of importance sampling and the central limit theorem. The estimates are asymptotically unbiased. Two examples demonstrate high accuracy of the estimates.