EEMCS EPrints Service

Education

Research

Prospective Students

Jobs

Publications

Intranet (internal)

Nederlands

Contact

Sitemap

Organisation

7719 A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks

Home Policy Brochure Browse Search User Area Contact Help

de Boer, P.T. and Kroese, D.P. and Rubinstein, R.Y. (2004) A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks. Management Science, 50 (7). pp. 883-895. ISSN 0025-1909 *** ISI Impact 2,221 ***

Full text available as:

PDF

- Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
206 Kb

Official URL: http://dx.doi.org/10.1287/mnsc.1030.0139

Abstract

In this paper, we propose a fast adaptive importance sampling method for the efficient simulation of buffer overflow probabilities in queueing networks. The method comprises three stages. First, we estimate the minimum cross-entropy tilting parameter for a small buffer level; next, we use this as a starting value for the
estimation of the optimal tilting parameter for the actual (large) buffer level. Finally, the tilting parameter just found is used to estimate the overflow probability of interest. We study various properties of the method in more detail for the M/M/1 queue and conjecture that similar properties also hold for quite general queueing networks. Numerical results support this conjecture and demonstrate the high efficiency of the proposed algorithm.

Item Type:	Article
Research Group:	EWI-DACS: Design and Analysis of Communication Systems
Research Program:	CTIT-ASI: A-services Internet
Additional Information:	Imported from research group DACS (ID number 280)
Uncontrolled Keywords:	importance sampling; rare events; cross-entropy; queueing networks; simulation
ID Code:	7719
Status:	Published
Deposited On:	21 December 2006
Refereed:	Yes
International:	Yes
ISI Impact Factor:	2,221
More Information:	statistics

Export this item as:

To correct this item please ask your editor

Repository Staff Only: edit this item