Alternative proof and interpretations for a recent state-dependent importance sampling scheme

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

doi:10.1007/s11134-007-9049-2

Alternative proof and interpretations for a recent state-dependent importance sampling scheme

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

Stochastic Operations Research

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Abstract

Recently, a state-dependent change of measure for simulating overflows in the two-node tandem queue was proposed by Dupuis et al. (Ann. Appl. Probab. 17(4):1306–1346, 2007), together with a proof of its asymptotic optimality. In the present paper, we present an alternative, shorter and simpler proof. As a side result, we obtain interpretations for several of the quantities involved in the change of measure in terms of likelihood ratios.

Original language	English
Pages (from-to)	61-69
Number of pages	9
Journal	Queueing systems
Volume	57
Issue number	67310A/2-3
DOIs	https://doi.org/10.1007/s11134-007-9049-2
Publication status	Published - 2007

Keywords

MSC-60K25
MSC-65C05
Asymptotic optimality
Tandem queue
Importance sampling

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10.1007/s11134-007-9049-2

2007-XBoerScheinhardt

Cite this

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AU - Scheinhardt, Willem R.W.

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N2 - Recently, a state-dependent change of measure for simulating overflows in the two-node tandem queue was proposed by Dupuis et al. (Ann. Appl. Probab. 17(4):1306–1346, 2007), together with a proof of its asymptotic optimality. In the present paper, we present an alternative, shorter and simpler proof. As a side result, we obtain interpretations for several of the quantities involved in the change of measure in terms of likelihood ratios.

AB - Recently, a state-dependent change of measure for simulating overflows in the two-node tandem queue was proposed by Dupuis et al. (Ann. Appl. Probab. 17(4):1306–1346, 2007), together with a proof of its asymptotic optimality. In the present paper, we present an alternative, shorter and simpler proof. As a side result, we obtain interpretations for several of the quantities involved in the change of measure in terms of likelihood ratios.

KW - MSC-60K25

KW - MSC-65C05

KW - Asymptotic optimality

KW - Tandem queue

KW - Importance sampling

U2 - 10.1007/s11134-007-9049-2

DO - 10.1007/s11134-007-9049-2

M3 - Article

SN - 0257-0130

VL - 57

SP - 61

EP - 69

JO - Queueing systems

JF - Queueing systems

IS - 67310A/2-3

ER -

Alternative proof and interpretations for a recent state-dependent importance sampling scheme

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Keywords

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