Rare-Event Simulation of Non-Markovian Queueing Networks Using a State-Dependent Change of Measure Determined Using Cross-Entropy

Pieter-Tjerk de Boer ()

Annals of Operations Research, 2005, vol. 134, issue 1, 69-100

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. Copyright Springer Science + Business Media, Inc. 2005

Keywords: cross-entropy method; rare-event simulation; queueing networks (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10479-005-5725-y

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