Estimating buffer overflows in three stages using cross-entropy

Pieter-Tjerk de Boer, Dirk Kroese, R.Y. Rubinstein

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademic

    18 Citations (Scopus)
    18 Downloads (Pure)


    In this paper we propose a fast adaptive Importance Sampling method for the efficient simulation of buffer overflow probabilities in queueing networks. The method comprises three stages. First we estimate the minimum Cross-Entropy tilting parameter for a small buffer level; next, we use this as a starting value for the estimation of the optimal tilting parameter for the actual (large) buffer level; finally, the tilting parameter just found is used to estimate the overflow probability of interest. We recognize three distinct properties of the method which together explain why the method works well; we conjecture that they hold for quite general queueing networks. Numerical results support this conjecture and demonstrate the high efficiency of the proposed algorithm.
    Original languageUndefined
    Title of host publicationProceedings of the 2002 Winter Simulation Conference (WSC 2002)
    EditorsJ.L. Snowdon, J.M. Charnes, E. Yücesan, C.H. Chen
    Place of PublicationUSA
    PublisherAssociation for Computing Machinery (ACM)
    Number of pages9
    ISBN (Print)0-7803-7615-3
    Publication statusPublished - Dec 2002
    Event2002 Winter Simulation Conference - San Diego, United States
    Duration: 8 Dec 200211 Dec 2002

    Publication series



    Conference2002 Winter Simulation Conference
    Abbreviated titleWSC 2002
    Country/TerritoryUnited States
    CitySan Diego


    • EWI-24108
    • IR-37982
    • METIS-206977

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