Alternative proof and interpretations for a recent state-dependent importance sampling scheme
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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.
KeywordsImportance sampling Asymptotic optimality Tandem queue
Mathematics Subject Classification (2000)60K25 65C05
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