A large-deviations analysis of Markov-modulated infinite-server queues

J.G. Blom; M.R.H. Mandjes

doi:10.1016/j.orl.2013.01.009

A large-deviations analysis of Markov-modulated infinite-server queues

J.G. Blom, M.R.H. Mandjes

Eurandom

Research output: Contribution to journal › Article › Academic › peer-review

13 Citations (Scopus)

2 Downloads (Pure)

Abstract

This paper studies an infinite-server queue in a Markov environment, that is, an infinite-server queue with arrival rates and service times depending on the state of a Markovian background process. Scaling the arrival rates ¿i by a factor N, tail probabilities are examined when letting N tend to 8; non-standard large deviations results are obtained. An importance-sampling based estimation algorithm is proposed, that is proven to be logarithmically efficient.

Original language	English
Pages (from-to)	220-225
Journal	Operations Research Letters
Volume	41
Issue number	3
DOIs	https://doi.org/10.1016/j.orl.2013.01.009
Publication status	Published - 2013

Access to Document

10.1016/j.orl.2013.01.009

Cite this

@article{da70af9f61454812ab315d8684335fcb,

title = "A large-deviations analysis of Markov-modulated infinite-server queues",

abstract = "This paper studies an infinite-server queue in a Markov environment, that is, an infinite-server queue with arrival rates and service times depending on the state of a Markovian background process. Scaling the arrival rates ¿i by a factor N, tail probabilities are examined when letting N tend to 8; non-standard large deviations results are obtained. An importance-sampling based estimation algorithm is proposed, that is proven to be logarithmically efficient.",

author = "J.G. Blom and M.R.H. Mandjes",

year = "2013",

doi = "10.1016/j.orl.2013.01.009",

language = "English",

volume = "41",

pages = "220--225",

journal = "Operations Research Letters",

issn = "0167-6377",

publisher = "Elsevier B.V.",

number = "3",

}

TY - JOUR

T1 - A large-deviations analysis of Markov-modulated infinite-server queues

AU - Blom, J.G.

AU - Mandjes, M.R.H.

PY - 2013

Y1 - 2013

N2 - This paper studies an infinite-server queue in a Markov environment, that is, an infinite-server queue with arrival rates and service times depending on the state of a Markovian background process. Scaling the arrival rates ¿i by a factor N, tail probabilities are examined when letting N tend to 8; non-standard large deviations results are obtained. An importance-sampling based estimation algorithm is proposed, that is proven to be logarithmically efficient.

AB - This paper studies an infinite-server queue in a Markov environment, that is, an infinite-server queue with arrival rates and service times depending on the state of a Markovian background process. Scaling the arrival rates ¿i by a factor N, tail probabilities are examined when letting N tend to 8; non-standard large deviations results are obtained. An importance-sampling based estimation algorithm is proposed, that is proven to be logarithmically efficient.

U2 - 10.1016/j.orl.2013.01.009

DO - 10.1016/j.orl.2013.01.009

M3 - Article

SN - 0167-6377

VL - 41

SP - 220

EP - 225

JO - Operations Research Letters

JF - Operations Research Letters

IS - 3

ER -

A large-deviations analysis of Markov-modulated infinite-server queues

Abstract

Access to Document

Fingerprint

Cite this