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

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entropy
simulation
mathematical analysis
method
sampling
experiment

Keywords

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

Cite this

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.
de Boer, Pieter-Tjerk. / Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy. Paper presented at 5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004, Budapest, Hungary.6 p.
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de Boer, P-T 2004, 'Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy' Paper presented at 5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004, Budapest, Hungary, 7/09/04 - 8/09/04, pp. 1-6.

Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy. / de Boer, Pieter-Tjerk.

2004. 1-6 Paper presented at 5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004, Budapest, Hungary.

Research output: Contribution to conferencePaperAcademic

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N2 - 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.

AB - 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.

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de Boer P-T. Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy. 2004. Paper presented at 5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004, Budapest, Hungary.