Perfect sampling of stochastic matching models with reneging - Inria - Institut national de recherche en sciences et technologies du numérique Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2022

Perfect sampling of stochastic matching models with reneging

Résumé

In this paper, we introduce a slight variation of the Dominated Coupling From the Past algorithm (DCFTP) of Kendall, for bounded Markov chains. It is based on the control of a (typically non-monotonic) stochastic recursion by a (typically monotonic) one. We show that this algorithm is particularly suitable for stochastic matching models with bounded patience, a class of models for which the steady state distribution of the system is in general unknown in closed form. We first show that the Markov chain of this model can be easily controlled by an infinite-server queue. We then investigate the particular case where patience times are deterministic, and this control argument may fail. in that case we resort to an ad-hoc technique that can also be seen as a control (this time, by the arrival sequence). We then compare this algorithm to the classical CFTP one, and show how our perfect simulation results can be used to estimate, and compare, the loss probabilities of various systems in equilibrium.
Fichier principal
Vignette du fichier
Perfect_Sample_Matching_MM.pdf (340.42 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-03580942 , version 1 (25-02-2022)
hal-03580942 , version 2 (18-01-2024)

Identifiants

  • HAL Id : hal-03580942 , version 1

Citer

Thomas Masanet, Pascal Moyal. Perfect sampling of stochastic matching models with reneging. 2022. ⟨hal-03580942v1⟩
48 Consultations
45 Téléchargements

Partager

Gmail Facebook X LinkedIn More