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

Pieter-Tjerk de Boer; Willem R.W. Scheinhardt

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

Pieter-Tjerk de Boer, Willem R.W. Scheinhardt

Stochastic Operations Research

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic

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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 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/Territory	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

Access to Document

http://www.newton.ac.uk/programmes/SCS/seminars/062110251.html

Cite this

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

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.",

keywords = "METIS-276228, IR-75559, MSC-65C05, MSC-60K25, EWI-19097",

author = "{de Boer}, Pieter-Tjerk and Scheinhardt, {Willem R.W.}",

year = "2010",

month = jun,

language = "Undefined",

isbn = "not assigned",

publisher = "Isaac Newton Institute for Mathematical Sciences",

pages = "12--13",

booktitle = "Eighth International Workshop on Rare-Event Simulation, RESIM 2010",

note = "null ; Conference date: 21-06-2010 Through 23-06-2010",

}

de Boer, P-T & Scheinhardt, WRW 2010, A new, analysis-based, change of measure for tandem queues. in Eighth International Workshop on Rare-Event Simulation, RESIM 2010. Isaac Newton Institute for Mathematical Sciences, Cambridge, UK, pp. 12-13, 8th International Workshop on Rare-Event Simulation, RESIM 2010, Cambridge, United Kingdom, 21/06/10. <http://www.newton.ac.uk/programmes/SCS/seminars/062110251.html>

TY - GEN

T1 - A new, analysis-based, change of measure for tandem queues

AU - de Boer, Pieter-Tjerk

AU - Scheinhardt, Willem R.W.

N1 - Conference code: 8

PY - 2010/6

Y1 - 2010/6

N2 - 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.

AB - 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.

KW - METIS-276228

KW - IR-75559

KW - MSC-65C05

KW - MSC-60K25

KW - EWI-19097

M3 - Conference contribution

SN - not assigned

SP - 12

EP - 13

BT - Eighth International Workshop on Rare-Event Simulation, RESIM 2010

PB - Isaac Newton Institute for Mathematical Sciences

CY - Cambridge, UK

Y2 - 21 June 2010 through 23 June 2010

ER -