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

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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 languageEnglish
Pages (from-to)61-69
Number of pages9
JournalQueueing systems
Volume57
Issue number67310A/2-3
DOIs
Publication statusPublished - 2007

Keywords

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

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