Alternative proof with 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. (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 languageUndefined
Place of PublicationEnschede
PublisherUniversity of Twente, Faculty of Mathematical Sciences
Number of pages15
Publication statusPublished - Mar 2007

Publication series

NameMemorandum / Department of Applied Mathematics
PublisherDepartment 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

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