2022/07/08 by Guang Jin, Guiyu Hong, Guang, Jin +11
Business, Management and Accounting · Decision Sciences · Social Sciences · #Advanced Queuing Theory Analysis #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Probability and Risk Models
paper · pdf · doi:10.48550/arxiv.2207.03760
openalex publication_date 2022/07/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Motivated by applications in computing and telecommunication systems, we investigate the problem of estimating p-quantile of steady-state sojourn times in a single-server multi-class queueing system with non-preemptive priorities for p close to 1. The main challenge in this problem lies in efficient sampling from the tail event. To address this issue, we develop a regenerative simulation algorithm with importance sampling. In addition, we establish a central limit theorem for the estimator to construct the confidence interval. Numerical experiments show that our algorithm outperforms benchmark simulation methods. Our result contributes to the literature on rare event simulation for queueing systems.