Efficient simulation of non-Poisson non-stationary point processes to study queueing approximations

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• 作者：Ni Ma ^{nm2692@columbia.edu" class="auth_mail" title="E-mail the corresponding author} ; Ward Whitt ; ^{ww2040@columbia.edu" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Simulation ; Nonstationary point process ; Time-varying arrival rate ; Inverse function ; Queues with time-varying arrival rates ; Service system
• 刊名：Statistics & Probability Letters
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：109
• 期：Complete
• 页码：202-207
• 全文大小：353 K

文摘

A nonstationary point process can be efficiently simulated by exploiting a representation as the composition of a rate-one process and the cumulative arrival rate function, provided that an efficient algorithm is available for generating the rate-one process, as is the case for stationary renewal processes, Markov modulated Poisson processes and many other processes. Overall efficiency can be achieved by constructing a table of the inverse cumulative arrival rate function when it is not explicitly available.