A new, analysis-based, change of measure for tandem queues

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Abstract

In this paper, we introduce a simple analytical approximation for the overflow probability of a two-node tandem queue. From this, we derive a change of measure, which turns out to have good performance in almost the entire parameter space. The form of our new change of measure sheds an interesting new light on earlier changes of measure for the same problem, because here the transition zone from one measure to another - that they all have - arises naturally.
Original languageUndefined
Title of host publicationEighth International Workshop on Rare-Event Simulation, RESIM 2010
Place of PublicationCambridge, UK
PublisherIsaac Newton Institute for Mathematical Sciences
Pages12-13
Number of pages2
ISBN (Print)not assigned
Publication statusPublished - Jun 2010
Event8th International Workshop on Rare-Event Simulation, RESIM 2010 - Cambridge, UK, Cambridge, United Kingdom
Duration: 21 Jun 201023 Jun 2010
Conference number: 8

Publication series

Name
PublisherIsaac Newton Institute for Mathematical Sciences

Workshop

Workshop8th International Workshop on Rare-Event Simulation, RESIM 2010
Abbreviated titleRESIM
CountryUnited Kingdom
CityCambridge
Period21/06/1023/06/10
Other21-23 June 2010

Keywords

  • METIS-276228
  • IR-75559
  • MSC-65C05
  • MSC-60K25
  • EWI-19097

Cite this

de Boer, P-T., & Scheinhardt, W. R. W. (2010). A new, analysis-based, change of measure for tandem queues. In Eighth International Workshop on Rare-Event Simulation, RESIM 2010 (pp. 12-13). Cambridge, UK: Isaac Newton Institute for Mathematical Sciences.