Queuing theory and efficient simulation

O. Senhadji El Rhazi (1)

1 ENPC - École des Ponts ParisTech

In many life situations, there exist queues with different behaviors. The purpose of this paper is to model those queues. These queues are prevalent in several areas. Not only, in the daily life in the administrative branches, or in the banks, but also in computer science and in telephone networks. The sharing of resources via a server, and the stream of commands to the level of the microprocessor or the management of telephone calls are all models for the queue. The present paper is divided into three parts: a basic theory part, an implementation part and a development of the code which will enable us to get some practical results.

Mots clés: queue; optimization; simulation; Stochastic; theory

Domaines: Finance quantitative [q-fin.CP]; Applications [stat.AP]; Calcul [stat.CO]; Analyse numérique [math.NA]; Pricing [q-fin.PR]; Gestion des risques [q-fin.RM]; Machine Learning [stat.ML]; Risques; Autres [stat.ML]; Automatique / Robotique; Adaptation et Systèmes auto-organisés [nlin.AO]; Equations aux dérivées partielles [math.AP]; Analyse fonctionnelle [math.FA]; Ingénierie, finance et science [cs.CE]; Finance [q-fin.GN]

O. Senhadji El Rhazi. Queuing theory and efficient simulation: Multi-Task Optimization. [Technical Report] Financial Services. 2013. ⟨hal-01291320⟩