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is, taking p = 1 p > 1/2 For the M/M/1 queue, this means exchanging the arrival rate and the service rate, which gives an unstable queue (ie, the event under consideration is not rare anymore) This simple permutation is an example of a state-independent change of measure; it does not depend on the current state y With p = 1 p, the likelihood ratio associated with any sample path that reaches level B before returning to 0 is B 1 , so, when estimating (1), the second moment is reduced at least by that factor, as shown by Inequality (22) This reduction can be quite substantial Moreover, the probability (1) of reaching B under the new measure must satisfy (1) B 1 = (1), which implies that (1) = (1) 1 B = Then the relative variance is (1) 2B 2 1 B 1= 1 2 (1) 1 1 when B is large We have the remarkable result that the number of runs needed to achieve a prede ned precision remains bounded in B, that is, we have bounded relative error as B , even with a state-independent change of measure Example 5 Suppose now that our birth-and-death process evolves over the set of non-negative integers and let (y) be the probability that the process ever reaches 0 if it starts at y > 0 This (y) can be seen as the probability of ruin if we start with y euros in hand and win (lose) one euro with probability p (1 p) at each step For p 1/2, (y) = 1, so we assume that p > 1/2 In this case, we have that (1) = (1 p) + p (2) = (1 p) + 2 (1) For j 2, (j + 1) = (1) (j ) because the probability of reaching 0 from j + 1 is the probability of eventually reaching j from j + 1, which equals (1), multiplied by the probability of reaching 0 from j From this, we see that (1) = (1 p)/p Still from (j + 1) = (1) (j ), we nd easily that the zero-variance probabilities are pj = 1 p for all j 1 In this case, the zero-variance change of measure is state-independent Example 6 We return to Example 2, where we wish to estimate = P[X na], for X binomially distributed with parameters (n, p), and for some constant a > p If we view X as a sum of n independent Bernoulli random variables and de ne Yj and the partial sum of the rst j variables, then X = Yn and we have a Markov chain {Yj , j 0} We observed in Example 2 that when we restricted ourselves to a state-independent change of measure that replaced p by p for this Markov chain, the variance was approximately minimized by taking p = a In fact, this choice turns out to be optimal asymptotically when n [24] But even this optimal choice fails to provide a bounded relative error That is, a state-independent change of p cannot provide a bounded relative error in this 1 1 B. java ean 13 reader Java Barcode Reader Tutorial to scan, read linear, 2d barcodes in ...
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