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

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

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

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

Stochastic Operations Research

Research output: Book/Report › Report › Professional

6 Citations (Scopus)

27 Downloads (Pure)

Abstract

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.

Original language	Undefined
Place of Publication	Enschede
Publisher	University of Twente, Faculty of Mathematical Sciences
Number of pages	15
Publication status	Published - Mar 2007

Publication series

Name	Memorandum / Department of Applied Mathematics
Publisher	Department of Applied Mathematics, University of Twente
No.	2/1828
ISSN (Print)	1874-4850
ISSN (Electronic)	1874-4850

Keywords

state-dependent
Importance sampling
IR-67016
change of measure
METIS-242077
EWI-9533

Access to Document

Memo1828
open
Memo1828
open

http://www.math.utwente.nl/publications

Cite this

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