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

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

• Type: Journal
• Year: 2007
• Where: QUESTA
• Authors: Pieter-Tjerk de Boer, Werner R. W. Scheinhardt
• Keywords: Asymptotic Optimality, QUESTA 2007, Tandem Queue, Two-node Tandem Queue