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

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Boer de, Pieter-Tjerk and Scheinhardt, Werner R.W. (2007) Alternative proof with interpretations for a recent state-dependent importance sampling scheme. [Report]

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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. (2005), together with a proof of its asymptotic efficiency. In the present paper, we present an alternative, shorter and simpler proof. Furthermore, we give intuitive interpretations for several of the abstract quantities involved in this change of measure.
Item Type:Report
Faculty:
Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/67016
Publisher URL:http://www.math.utwente.nl/publications
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