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)

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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

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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",

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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.

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JO - Operations Research Letters

JF - Operations Research Letters

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ER -

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

Abstract

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