Importance sampling for Markovian tandem queues using subsolutions
Exploring the possibilities
Anne Buijsrogge (TU Delft - Electrical Engineering, Mathematics and Computer Science)
Pieter-Tjerk de Boer (University of Twente)
Werner R.W. Scheinhardt (University of Twente)
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Abstract
We consider importance sampling simulation for estimating the probability of reaching large total number of customers in an (Formula presented.) tandem queue, during a busy cycle of the system. Our main result is a procedure for obtaining a family of asymptotically efficient changes of measure based on subsolutions. We explicitly show these families for two-node tandem queues and we find that there exist more asymptotically efficient changes of measure based on subsolutions than currently available in literature.
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