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Importance sampling algorithms for first passage time probabilities in the infinite server queue

Ad Ridder
Department Econometrics and Operations Research, Vrije University, de Boelelaan 1105, 1081 HV Amsterdam, The Netherlands
European Journal of Operational Research, Vol. 199, No. 1. (16 November 2009), pp. 176-186.

@article{ridder2009importance,

   title={Importance sampling algorithms for first passage time probabilities in the infinite server queue},

   author={Ridder, A.},

   journal={European Journal of Operational Research},

   volume={199},

   number={1},

   pages={176–186},

   issn={0377-2217},

   year={2009},

   publisher={Elsevier}

}

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This paper applies importance sampling simulation for estimating rare event probabilities of the first passage time in the infinite server queue with renewal arrivals and general service time distributions. We consider importance sampling algorithms which are based on large deviations results of the infinite server queue, and we consider an algorithm based on the cross-entropy method, where we allow light-tailed and heavy-tailed distributions for the interarrival times and the service times. Efficiency of the algorithms is discussed by simulation experiments.
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