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Variance Reduction for Simulating Transient GI/G/1 Behavior

Published online by Cambridge University Press:  27 July 2009

Søren Asmussen  and
Chia-Li Wang
Søren Asmussen
Affiliation:
Department of Mathematical Statistics, University of Lund, Box 118, S-221 00 Lund, Sweden
Chia-Li Wang
Affiliation:
Institute of Applied Mathematics, National Dong Hwa University, Hualien, Taiwan, ROC
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Abstract

A variety of methods for reducing the variance on Monte Carlo estimators of the expected waiting time Wn of the nth customer in a GI/G/1 queue are studied. The ideas involve Spitzer's identity, importance sampling, and sums with stratified or controlled randomized length.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 10 , Issue 2 , April 1996 , pp. 197 - 205
Copyright
Copyright © Cambridge University Press 1996

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