Traffic Intensity Estimation in Finite Markovian Queueing Systems

Listing 3

Bayes estimator for for Jeffreys’ prior.

require(HI)

EJeRoMM1K<−function (K, samp)

logJe.f<−function (rho, K, n, sumxi)

logpost<−(sumxi)log (rho)+nlog(1−rho)−nlog(1−rho^∧(K+1))

Irho<− (1/rho^∧2)(rho/(1−rho)−(K+1)rho^∧(K+1)/(1−rho^∧(K+1))) −

1/(1−rho)^∧2 − (K+1)(Krho^∧(−K−1)+1)/(rho^∧(−K)−rho)^∧2

if ((! is . nan(Irho)) && (Irho>0))

logpost<−logpost+0.5log(Irho)

return(logpost)

sSize<−1000

n<−length(samp)

sumxi<−sum(samp)

res<−arms(runif, logJe.f, function(x, K, n, sumxi)(()()), sSize, K, n, sumxi)

return(mean(res))