Perfect sampling of stochastic matching models with reneging

T Masanet, P Moyal�- Advances in Applied Probability, 2024 - cambridge.org
T Masanet, P Moyal
Advances in Applied Probability, 2024cambridge.org
In this paper, we introduce a slight variation of the dominated-coupling-from-the-past
(DCFTP) algorithm of Kendall, for bounded Markov chains. It is based on the control of a
(typically non-monotonic) stochastic recursion by another (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 easily be�…
In this paper, we introduce a slight variation of the dominated-coupling-from-the-past (DCFTP) algorithm of Kendall, for bounded Markov chains. It is based on the control of a (typically non-monotonic) stochastic recursion by another (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 easily be 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 primitive coupling-from-the-past (CFTP) algorithm and to control by an infinite-server queue, and show how our perfect simulation results can be used to estimate and compare, for instance, the loss probabilities of various systems in equilibrium.
Cambridge University Press