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- Title
Alternative proof and interpretations for a recent state-dependent importance sampling scheme.
- Authors
Pieter-Tjerk de Boer; Werner Scheinhardt
- Abstract
Recently, a state-dependent change of measure for simulating overflows in the two-node tandem queue was proposed by Dupuis et al. (Ann. Appl. Probab. 17(4):1306–1346, 2007), together with a proof of its asymptotic optimality. In the present paper, we present an alternative, shorter and simpler proof. As a side result, we obtain interpretations for several of the quantities involved in the change of measure in terms of likelihood ratios.
- Subjects
QUEUEING networks; SIMULATION methods &; models; ELECTRICAL engineering; DATA transmission systems simulations; COMPUTER networks
- Publication
Queueing Systems, 2007, Vol 57, Issue 2/3, p61
- ISSN
0257-0130
- Publication type
Article
- DOI
10.1007/s11134-007-9049-2