@book{8027679b591e49a7a5227f71fe418f8e,

title = "State-dependent importance sampling for a Jackson tandem network",

abstract = "This paper considers importance sampling as a tool for rare-event simulation. The focus is on estimating the probability of overflow in the downstream queue of a Jacksonian two-node tandem queue – it is known that in this setting {\textquoteleft}traditional{\textquoteright} state-independent importance-sampling distributions perform poorly. We therefore concentrate on developing a state-dependent change of measure, that we prove to be asymptotically efficient. More specific contributions are the following. (i) We concentrate on the probability of the second queue exceeding a certain predefined threshold before the system empties. Importantly, we identify an asymptotically efficient importance-sampling distribution for any initial state of the system. (ii) The choice of the importance-sampling distribution is backed up by appealing heuristics that are rooted in large-deviations theory. (iii) Our method for proving asymptotic efficiency is substantially more straightforward than some that have been used earlier. The paper is concluded by simulation experiments that show a considerable speed up.",

keywords = "EWI-12734, METIS-250977, IR-64760",

author = "D.I. Miretskiy and Scheinhardt, {Willem R.W.} and M.R.H. Mandjes",

year = "2008",

month = may,

language = "Undefined",

series = "Memorandum / Department of Applied Mathematics",

publisher = "University of Twente, Faculty of Mathematical Sciences",

number = "274/1867",

}