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Importance Sampling for a Markov Modulated Queuing Network with Customer Impatience until the End of Service

Author(s): Ebrahim MAHDIPOUR | Amir Masoud RAHMANI | Saeed SETAYESHI

Journal: Informatica Economica Journal
ISSN 1453-1305

Volume: 13;
Issue: 3;
Start page: 106;
Date: 2009;
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Keywords: Importance Sampling | Queuing Network | Rare Event | Markov Process | Deadline

For more than two decades, there has been a growing of interest in fast simulation techniques for estimating probabilities of rare events in queuing networks. Importance sampling is a variance reduction method for simulating rare events. The present paper carries out strict deadlines to the paper by Dupuis et al for a two node tandem network with feedback whose arrival and service rates are modulated by an exogenous finite state Markov process. We derive a closed form solution for the probability of missing deadlines. Then we have employed the results to an importance sampling technique to estimate the probability of total population overflow which is a rare event. We have also shown that the probability of this rare event may be affected by various deadline values.
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