On the state-independent change of measure for the G|G|1 tandem queue
Anne Buijsrogge, UT-EWI-DACS/SOR
Rare event simulation has been of interest for more than two decades and is, for example, of interest in telecommunication. In importance sampling the rare event is made less rare by changing the underlying probability distribution. This is called a change of measure. In this talk I will discuss the state-independent change of measure for the G|G|1 tandem queue as proposed by Parkeh and Walrand in 1989. For the M|M|1 tandem queue it has been shown previously that the change of measure proposed by Parekh and Walrand is not necessarily asymptotically efficient. We will provide necessary conditions for an asymptotically efficient change of measure for a G|G|1 tandem queue.