VARIANCE REDUCTION FOR SIMULATING TRANSIENT GI G/1 BEHAVIOR/

Authors
ASMUSSEN S WANG CL
Citation
S. Asmussen et Cl. Wang, VARIANCE REDUCTION FOR SIMULATING TRANSIENT GI G/1 BEHAVIOR/, Probability in the engineering and informational sciences, 10(2), 1996, pp. 197-205
Citations number
12
Categorie Soggetti
Operatione Research & Management Science","Engineering, Industrial","Statistic & Probability","Operatione Research & Management Science
Journal title
Probability in the engineering and informational sciences → ACNP
ISSN journal
02699648
Volume
10
Issue
2
Year of publication
1996
Pages
197 - 205
Database
ISI
SICI code
0269-9648(1996)10:2<197:VRFSTG>2.0.ZU;2-Y
Abstract
A variety of methods for reducing the variance on Monte Carlo estimato rs of the expected waiting time W-n of the nth customer in a GI/G/1 qu eue are studied. The ideas involve Spitzer's identity, importance samp ling, and sums with stratified or controlled randomized length.