A new, analysis-based, change of measure for tandem queues


Boer, Pieter-Tjerk de and Scheinhardt, Werner R.W. (2010) A new, analysis-based, change of measure for tandem queues. In: Eighth International Workshop on Rare-Event Simulation, RESIM 2010, 21-23 June 2010, Cambridge, UK (pp. pp. 12-13).

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Abstract:In this paper, we introduce a simple analytical approximation for the overflow probability of a two-node tandem queue. From this, we derive a change of measure, which turns out to have good performance in almost the entire parameter space. The form of our new change of measure sheds an interesting new light on earlier changes of measure for the same problem, because here the transition zone from one measure to another - that they all have - arises naturally.
Item Type:Conference or Workshop Item
Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/75559
Official URL:http://www.newton.ac.uk/programmes/SCS/seminars/062110251.html
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