Recently, a state-dependent change of measure for simulating overflows in the two-node tandem queue was proposed by Dupuis et al. (2005), together with a proof of its asymptotic efficiency. In the present paper, we present an alternative, shorter and simpler proof. Furthermore, we give intuitive interpretations for several of the abstract quantities involved in this change of measure.
|Name||Memorandum / Department of Applied Mathematics|
|Publisher||Department of Applied Mathematics, University of Twente|
- Importance sampling
- change of measure