Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy

Pieter-Tjerk de Boer (Corresponding Author)

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    6 Citations (Scopus)
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    Abstract

    A method is described for the efficient estimation of small overflow probabilities in nonMarkovian queueing network models. The method uses importance sampling with a state-dependent change of measure, which is determined adaptively using the cross-entropy method, thus avoiding the need for a detailed mathematical analysis. Experiments show that the use of rescheduling is needed in order to get a significant simulation speedup, and that the method can be used to estimate overflow probabilities in a two-node tandem queue network model for which simulation using a state-independent change of measure does not work well.
    Original languageEnglish
    Pages (from-to)69-100
    Number of pages32
    JournalAnnals of operations research
    Volume134
    Issue number1
    DOIs
    Publication statusPublished - Jan 2005

    Keywords

    • Cross-entropy method
    • Queueing networks
    • Rare event simulation

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