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 language | Undefined |
|---|---|
| Title of host publication | Eighth International Workshop on Rare-Event Simulation, RESIM 2010 |
| Place of Publication | Cambridge, UK |
| Publisher | Isaac Newton Institute for Mathematical Sciences |
| Pages | 12-13 |
| Number of pages | 2 |
| ISBN (Print) | not assigned |
| Publication status | Published - Jun 2010 |
| Event | 8th International Workshop on Rare-Event Simulation, RESIM 2010 - Cambridge, UK, Cambridge, United Kingdom Duration: 21 Jun 2010 → 23 Jun 2010 Conference number: 8 |
Publication series
| Name | |
|---|---|
| Publisher | Isaac Newton Institute for Mathematical Sciences |
Workshop
| Workshop | 8th International Workshop on Rare-Event Simulation, RESIM 2010 |
|---|---|
| Abbreviated title | RESIM |
| Country | United Kingdom |
| City | Cambridge |
| Period | 21/06/10 → 23/06/10 |
| Other | 21-23 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.