Analysis of State-Independent Importance-Sampling Measures for the Two-Node Tandem Queue

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    Abstract

    We investigate the simulation of overflow of the total population of a Markovian two-node tandem queue model during a busy cycle, using importance sampling with a state-independent change of measure. We show that the only such change of measure that may possibly result in asymptotically efficient simulation for large overflow levels is exchanging the arrival rate with the smallest service rate. For this change of measure, we classify the model's parameter space into regions of asymptotic efficiency, exponential growth of the relative error, and infinite variance, using both analytical and numerical techniques.
    Original languageUndefined
    Article number10.1145/1147224.1147226
    Pages (from-to)225-250
    Number of pages26
    JournalACM transactions on modeling and computer simulation
    Volume16
    Issue number2/3
    DOIs
    Publication statusPublished - Jul 2006

    Keywords

    • IR-66202
    • METIS-238090
    • EWI-6148

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