Adaptive Importance Sampling Simulation of Queueing Networks


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Boer, Pieter-Tjerk de and Nicola, Victor F. and Rubinstein, Reuven Y. (2000) Adaptive Importance Sampling Simulation of Queueing Networks. In: Winter Simulation Conference, WSC 2000, 10-13 December 2000, Orlando, Florida, USA (pp. pp. 646-655).

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Abstract:In this paper, a method is presented for the efficient estimation of rare-event (overflow) probabilities in Jackson queueing networks using importance sampling. The method differs in two ways from methods discussed in most earlier literature: the change of measure is state-dependent, i.e., it is a function of the content of the buffers, and the change of measure is determined using a cross-entropy-based adaptive procedure. This method yields asymptotically efficient estimation of overflow probabilities of queueing models for which it has been shown that methods using a state-independent change of measure are not asymptotically efficient. Numerical results demonstrating the effectiveness of the method are presented as well
Item Type:Conference or Workshop Item
Copyright:© 2000 IEEE
Faculty:
Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:
Link to this item:http://purl.utwente.nl/publications/19042
Official URL:http://dx.doi.org/10.1109/WSC.2000.899776
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Metis ID: 119564