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Robustness analysis of generalized Jackson network

Author

Listed:
  • Joost Berkhout

    (Centrum Wiskunde & Informatica (CWI))

  • Bernd Heidergott

    (School of Economics and Business)

  • Jennifer Sommer

    (HPC Hamburg Port Consulting GmbH)

  • Hans Daduna

    (University of Hamburg)

Abstract

Queuing networks are a well-established approach to modeling and analysis of complex systems. This paper develops an approach to risk-analysis of queuing network models, where “risk” is understood as the possible impact of ignoring parameter insecurity. Our approach allows to compute the value at risk of performance characteristics of queuing networks under parameter insecurity.

Suggested Citation

  • Joost Berkhout & Bernd Heidergott & Jennifer Sommer & Hans Daduna, 2019. "Robustness analysis of generalized Jackson network," Computational Management Science, Springer, vol. 16(4), pages 697-714, October.
    • Handle: RePEc:spr:comgts:v:16:y:2019:i:4:d:10.1007_s10287-019-00355-3
    DOI: 10.1007/s10287-019-00355-3
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    References listed on IDEAS

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    1. J. H. C. Lisman & M. C. A. van Zuylen, 1972. "Note on the generation of most probable frequency distributions," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 26(1), pages 19-23, March.
    2. Jennifer Sommer & Joost Berkhout & Hans Daduna & Bernd Heidergott, 2017. "Analysis of Jackson networks with infinite supply and unreliable nodes," Queueing Systems: Theory and Applications, Springer, vol. 87(1), pages 181-207, October.
    3. Kurt Marti & Yuri Ermoliev & Marek Makowski & Georg Pflug, 2006. "Coping with Uncertainty," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-35262-4, December.
    4. Diego Dominici, 2003. "Nested derivatives: a simple method for computing series expansions of inverse functions," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2003, pages 1-17, January.
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