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 language | English |
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| Pages | 1-6 |
| 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
| Conference | 5th International Workshop on Rare Event Simulation and Combinatorial Optimization, RESIM/COP 2004 |
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| Abbreviated title | RESIM/COP |
| Country | Hungary |
| City | Budapest |
| Period | 7/09/04 → 8/09/04 |
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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.