Analysis of state-independent IS measures for the two-node tandem queue (extended abstract)

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    Abstract

    The performance of state-independent changes-of-measure for estimating the overflow probability of the total population of a two-node Markovian tandem queue using importance sampling is studied. It is shown that only the change of measure proposed by Parekh and Walrand (1989) can be asymptotically efficient for large overflow levels. The behaviour of this change of measure all over the parameter space is categorized, using both analysis and numerical calculation.
    Original languageUndefined
    Title of host publicationThe 5th International Workshop on Rare Event Simulation and Combinatorial Optimization (RESIM COP 2004)
    Place of PublicationBudapest, Hungary
    Pages1-4
    Number of pages4
    Publication statusPublished - Sep 2004
    Event5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004 - Budapest, Hungary
    Duration: 7 Sep 20048 Sep 2004
    Conference number: 5

    Conference

    Conference5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004
    Abbreviated titleRESIM/COP
    CountryHungary
    CityBudapest
    Period7/09/048/09/04

    Keywords

    • METIS-218925
    • EWI-7718
    • IR-63621

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