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Heavy-Traffic Extreme-Value Limits for Queues
extreme values queues maximum waiting time diffusion approximations
2015/7/8
We consider the maximum waiting time among the first n customers in the GI/G/1 queue. We use strong approximations to prove, under regularity conditions, convergence of the normalized maximum wait to ...
Rare-Event Simulation for Infinite Server Queues
Rare-Event Simulation Infinite Server Queues
2015/7/8
We discuss rare-event simulation methodology for computing tail probabilities for infinite-server queues. Our theoretical discussion also offers some new simulation insights into the change-of-measure...