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

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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.

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Authors and Affiliations

  1. Faculty of Electrical Engineering, Mathematics and Computer Science, University of Twente, P.O. Box 217, 7500 AE, Enschede, The Netherlands

    Pieter-Tjerk de Boer & Werner R. W. Scheinhardt

Authors
  1. Pieter-Tjerk de Boer
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  2. Werner R. W. Scheinhardt
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Corresponding author

Correspondence to Pieter-Tjerk de Boer.

Additional information

Part of this research has been funded by the Dutch BSIK/BRICKS project; part of this research was done while the first author was visiting INRIA/IRISA, Rennes, France.

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de Boer, PT., Scheinhardt, W.R.W. Alternative proof and interpretations for a recent state-dependent importance sampling scheme. Queueing Syst 57, 61–69 (2007). https://doi.org/10.1007/s11134-007-9049-2

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  • DOI: https://doi.org/10.1007/s11134-007-9049-2

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