Related papers: Tail Quantile Estimation for Non-preemptive Priori…
In several different fields, there is interest in analyzing the upper or lower tail quantile of the underlying distribution rather than mean or center quantile. However, the investigation of the tail quantile is difficult because of data…
We study sample quantiles of distributions indexed by estimated parameters, with a on Value-at-Risk related to linear projections of financial returns that whose underlying probability law is heavy-tailed. In this setting, the projection…
We provide upper bounds on the end-to-end backlog and delay in a network with heavy-tailed and self-similar traffic. The analysis follows a network calculus approach where traffic is characterized by envelope functions and service is…
The problem of increased queueing delays in the Internet motivates the study of currently implemented transport protocols and active queue management (AQM) policies. We study Compound TCP (default protocol in Windows) with Random Early…
In this paper, we consider queueing systems where the dynamics are non-stationary and state-dependent. For performance analysis of these systems, fluid and diffusion models have been typically used. Although they are proven to be…
We investigate a family of discrete-time stationary processes defined by multiple stable integrals and renewal processes with infinite means. The model may exhibit behaviors of short-range or long-range dependence, respectively, depending…
Distributions with a heavy tail are difficult to estimate. If the design of a scheduling policy is sensitive to the details of heavy tail distributions of the service times, an approximately optimal solution is difficult to obtain. This…
We investigate an optimization problem in a queueing system where the service provider selects the optimal service fee p and service capacity \mu to maximize the cumulative expected profit (the service revenue minus the capacity cost and…
We consider Markovian multiserver retrial queues where a blocked customer has two opportunities for abandonment: at the moment of blocking or at the departure epoch from the orbit. In this queueing system, the number of customers in the…
Motivated by a capacity allocation problem within a finite planning period, we conduct a transient analysis of a single-server queue with L\'evy input. From a cost minimization perspective, we investigate the error induced by using…
The continuous-time query model is a variant of the discrete query model in which queries can be interleaved with known operations (called "driving operations") continuously in time. Interesting algorithms have been discovered in this…
Motivated by the increasing popularity of learning and predicting human user behavior in communication and computing systems, in this paper, we investigate the fundamental benefit of predictive scheduling, i.e., predicting and pre-serving…
In asymptotic regimes, both in time and space (network size), the derivation of network capacity results is grossly simplified by brushing aside queueing behavior in non-Jackson networks. This simplifying double-limit model, however, lends…
We develop importance sampling based efficient simulation techniques for three commonly encountered rare event probabilities associated with random walks having i.i.d. regularly varying increments; namely, 1) the large deviation…
We consider a multi-class queueing model of a telephone call center, in which a system manager dynamically allocates available servers to customer calls. Calls can terminate through either service completion or customer abandonment, and the…
In this paper we consider the problem of maximum throughput for tandem queueing system. We modeled this system as a Quasi-Birth-Death process. In order to do this we named level the number of customers waiting in the first buffer (including…
This paper proposes a new Sequential Monte Carlo algorithm to perform online estimation in the context of state space models when either the transition density of the latent state or the conditional likelihood of an observation given a…
The contribution of this paper is to introduce change of measure based techniques for the rare-event analysis of heavy-tailed stochastic processes. Our changes-of-measure are parameterized by a family of distributions admitting a mixture…
We develop diffusion approximations for parallel-queueing systems with the randomized longest-queue-first scheduling algorithm by establishing new mean-field limit theorems as the number of buffers $n\to\infty$. We achieve this by allowing…
Simulating the dynamics and the non-equilibrium steady state of an open quantum system are hard computational tasks on conventional computers. For the simulation of the time evolution, several efficient quantum algorithms have recently been…