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.
|Number of pages||6|
|Publication status||Published - 7 Sep 2004|
|Event||5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004 - Budapest, Hungary|
Duration: 7 Sep 2004 → 8 Sep 2004
Conference number: 5
|Conference||5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004|
|Period||7/09/04 → 8/09/04|
- Cross-entropy method
- Rare-event simulation
- Queueing networks
de Boer, P-T. (2004). Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy. 1-6. Paper presented at 5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004, Budapest, Hungary.