Queueing Systems

, Volume 57, Issue 2–3, pp 61–69 | Cite as

Alternative proof and interpretations for a recent state-dependent importance sampling scheme

  • Pieter-Tjerk de Boer
  • Werner R. W. Scheinhardt
Article

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.

Keywords

Importance sampling Asymptotic optimality Tandem queue 

Mathematics Subject Classification (2000)

60K25 65C05 

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Copyright information

© The Author(s) 2007

Authors and Affiliations

  • Pieter-Tjerk de Boer
    • 1
  • Werner R. W. Scheinhardt
    • 1
  1. 1.Faculty of Electrical Engineering, Mathematics and Computer ScienceUniversity of TwenteEnschedeThe Netherlands

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