Exact Sampling of Stationary and Time-Reversed Queues
Exact Sampling of Stationary and Time-Reversed Queues
复制标题
固定队列和时间反转队列的精确采样
DOI：
--
复制
发表时间：
2014
影响因子：
0.9
通讯作者：
Aya Wallwater
中科院分区：
文献类型：
--
作者：
J. Blanchet;Aya Wallwater
我们给出了第一个算法，在最小的假设下，它允许模拟单服务台队列的平稳等待时间序列，并结合队列的输入过程(到达间隔时间和服务时间)。单服务器队列在过去的支配耦合(DCFTP)的应用中很有用，DCFTP是一种众所周知的协议，用于模拟而不偏离稳态分布。我们的算法在有限时间内终止，仅假设到达间隔时间和服务时间的有限平均值。为了模拟在有限的期望终止时间内直到第一个空闲周期的单服务台队列的平稳性，我们要求存在有限方差。对于具有有限平均值的这种空闲时间(在DCFTP应用中是自然合并时间)，这一要求也是必要的。因此，在这个意义上，我们的算法在最小假设下是适用的。
We provide the first algorithm that, under minimal assumptions, allows simulation of the stationary waiting-time sequence of a single-server queue backward in time, jointly with the input processes of the queue (interarrival and service times). The single-server queue is useful in applications of Dominated Coupling from the Past (DCFTP), which is a well-known protocol for simulation without bias from steady-state distributions. Our algorithm terminates in finite time, assuming only finite mean of the interarrival and service times. To simulate the single-server queue in stationarity until the first idle period in finite expected termination time, we require the existence of finite variance. This requirement is also necessary for such idle time (which is a natural coalescence time in DCFTP applications) to have finite mean. Thus, in this sense, our algorithm is applicable under minimal assumptions.