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

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    Abstract

    A method is described for the efficient estimation of small overflow probabilities in non-Markovian 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 of the model. Experiments show 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
    Pages1-6
    Number of pages6
    Publication statusPublished - 7 Sep 2004
    Event5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004 - Budapest, Hungary
    Duration: 7 Sep 20048 Sep 2004
    Conference number: 5

    Conference

    Conference5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004
    Abbreviated titleRESIM/COP
    CountryHungary
    CityBudapest
    Period7/09/048/09/04

    Keywords

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

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