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

Boer de, Pieter-Tjerk (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

PDF
Restricted to UT campus only: Request a copy
291Kb

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)
Research Group:	Design and Analysis of Communication Systems (DACS)
Link to this item:	http://purl.utwente.nl/publications/62752
Official URL:	http://dx.doi.org/10.1007/s10479-005-5725-y
Export this item as:	BibTeX EndNote HTML Citation Reference Manager

Show download statistics for this publication

Repository Staff Only: item control page

Metis ID: 225941