TY - GEN
T1 - Sampling point processes on stable unbounded regions and exact simulation of queues
AU - Blanchet, Jose
AU - Dong, Jing
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84874754284&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84874754284&partnerID=8YFLogxK
U2 - 10.1109/WSC.2012.6465250
DO - 10.1109/WSC.2012.6465250
M3 - Conference contribution
AN - SCOPUS:84874754284
SN - 9781467347792
T3 - Proceedings - Winter Simulation Conference
BT - Proceedings of the 2012 Winter Simulation Conference, WSC 2012
T2 - 2012 Winter Simulation Conference, WSC 2012
Y2 - 9 December 2012 through 12 December 2012
ER -