Simulation of Rare Event in Queueing Systems
نویسندگان
چکیده
The paper is devoted on computer simulation of rare event probability, which is a critical issue in areas such as reliabilities, telecommunications, aircraft management, etc. This means that it is necessary to evaluate probabilityties less than 10, which is unreasonable to be simulated with standard Monte Carlo approach. M/M/1/N queuing system and tandem queuing system are under investigation where the overflow probabilities are estimated with rare event simulation. For queuing systems performance were used discrete-time Markov chains models. An algorithm with RESTART approach and Limited Relative Error was developed to speed-up the rare event simulation. This algorithm has been successfully applied to M/M/1/N queuing system and tandem queuing system. Simulation results for two servers tandem queuing system with Poisson arrival and service rates are shown.
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