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

被引：6
|
作者：
de Boer, Pieter-Tjerk [1 ]
Scheinhardt, Werner R. W. [1 ]
机构：
[1] Univ Twente, Fac Elect Engn Math & Comp Sci, NL-7500 AE Enschede, Netherlands
来源：
QUEUEING SYSTEMS | 2007年 / 57卷 / 2-3期
关键词：
importance sampling; asymptotic optimality; tandem queue;
D O I：
10.1007/s11134-007-9049-2
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
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.
引用
收藏
页码：61 / 69
页数：9
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