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

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Boer, Pieter-Tjerk de (2005) Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy. Annals of Operations Research, 134 (1). pp. 69-100. ISSN 0254-5330

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Abstract:A method is described for the efficient estimation of small overflow probabilities in nonMarkovian 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. Experiments show that the use of rescheduling is needed in order to get a significant simulation speedup, and 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.
Item Type:Article
Copyright:© 2005 Springer
Faculty:
Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/62752
Official URL:http://dx.doi.org/10.1007/s10479-005-5725-y
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