Variance reductions in simulation of a state-dependent queueing system using total hazard
by Chi-Hyuck Jun, Sheldon M. Ross
International Journal of Continuing Engineering Education and Life-Long Learning (IJCEELL), Vol. 4, No. 1/2, 1994

Abstract: A queueing system is considered where customers arrive according to a Poisson process. Each customer possesses a random workload which is processed by a single server using a state-dependent rate. Total hazards are derived and utilised as control variates for reducing the variance of the raw simulation estimator of the expected number of customers during a busy period. Simulation experiments are done for exponential and k-Erlang workload distributions. Performance of controlled estimators is measured in terms of the mean squared error, which is estimated by the bootstrap method. Simulation results show that hazard-controlled estimators outperform the raw simulation estimator and other controlled estimators based on workloads and inter-arrival times.

Online publication date: Mon, 14-Dec-2009

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