Tail Quantile Estimation for Non-preemptive Priority Queues
Probability
2022-07-11 v1
Abstract
Motivated by applications in computing and telecommunication systems, we investigate the problem of estimating p-quantile of steady-state sojourn times in a single-server multi-class queueing system with non-preemptive priorities for p close to 1. The main challenge in this problem lies in efficient sampling from the tail event. To address this issue, we develop a regenerative simulation algorithm with importance sampling. In addition, we establish a central limit theorem for the estimator to construct the confidence interval. Numerical experiments show that our algorithm outperforms benchmark simulation methods. Our result contributes to the literature on rare event simulation for queueing systems.
Cite
@article{arxiv.2207.03760,
title = {Tail Quantile Estimation for Non-preemptive Priority Queues},
author = {Jin Guang and Guiyu Hong and Xinyun Chen and Xi Peng and Li Chen and Bo Bai and Gong Zhang},
journal= {arXiv preprint arXiv:2207.03760},
year = {2022}
}