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 language | Undefined |
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| Title of host publication | The 5th International Workshop on Rare Event Simulation and Combinatorial Optimization (RESIM COP 2004) |
| Place of Publication | Budapest, Hungary |
| Pages | 1-4 |
| Number of pages | 4 |
| Publication status | Published - Sept 2004 |
| Event | 5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004 - Budapest, Hungary Duration: 7 Sept 2004 → 8 Sept 2004 Conference number: 5 |
Conference
| Conference | 5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004 |
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| Abbreviated title | RESIM/COP |
| Country/Territory | Hungary |
| City | Budapest |
| Period | 7/09/04 → 8/09/04 |
Keywords
- METIS-218925
- EWI-7718
- IR-63621