You are not currently logged in.
Access JSTOR through your library or other institution:
A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks
P. T. de Boer, D. P. Kroese and R. Y. Rubinstein
Vol. 50, No. 7 (Jul., 2004), pp. 883-895
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/30047946
Page Count: 13
You can always find the topics here!Topics: Simulations, Queueing networks, Estimators, Management science, Modeling, Algorithms, Combinatorial optimization, Mathematical vectors, Random variables, Estimation methods
Were these topics helpful?See something inaccurate? Let us know!
Select the topics that are inaccurate.
Preview not available
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.
Management Science © 2004 INFORMS