Sampling point processes on stable unbounded regions and exact simulation of queues

Jose Blanchet*, Jing Dong

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Scopus citations

Abstract

Given a marked renewal point process (assuming that the marks are i.i.d.) we say that an unbounded region is stable if it contains finitely many points of the point process with probability one. In this paper we provide algorithms that allow to sample these finitely many points efficiently. We explain how exact simulation of the steady-state measure valued state descriptor of the infinite server queue follows as a simple corollary of our algorithms. We provide numerical evidence supporting that our algorithms are not only theoretically sound but also practical. Finally, having simulation optimization in mind, we also apply our results to gradient estimation of steady-state performance measures.

Original languageEnglish (US)
Title of host publicationProceedings of the 2012 Winter Simulation Conference, WSC 2012
DOIs
StatePublished - 2012
Event2012 Winter Simulation Conference, WSC 2012 - Berlin, Germany
Duration: Dec 9 2012Dec 12 2012

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736

Other

Other2012 Winter Simulation Conference, WSC 2012
CountryGermany
CityBerlin
Period12/9/1212/12/12

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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