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HITTING TIME IN AN ERLANG LOSS SYSTEM

Published online by Cambridge University Press:  21 May 2002

Sheldon M. Ross  and
Sridhar Seshadri
Sheldon M. Ross
Affiliation:
Department of Industrial Engineering and Operations Research, University of California, Berkeley, CA 94720, E-mail: [email protected]
Sridhar Seshadri
Affiliation:
Operations Management Department, Leonard N. Stern School of Business, New York University, New York, NY 10012, E-mail: [email protected]
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Abstract

In this article, we develop methods for estimating the expected time to the first loss in an Erlang loss system. We are primarily interested in estimating this quantity under light traffic conditions. We propose and compare three simulation techniques as well as two Markov chain approximations. We show that the Markov chain approximations proposed by us are asymptotically exact when the load offered to the system goes to zero. The article also serves to highlight the fact that efficient estimation of transient quantities of stochastic systems often requires the use of techniques that combine analytical results with simulation.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 16 , Issue 2 , April 2002 , pp. 167 - 184
Copyright
© 2002 Cambridge University Press

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