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Adaptive importance sampling simulation of queueing networks
2000 Winter Simulation Conference Proceedings (Cat. No.00CH37165)
In this paper, a method is presented for the efficient estimation of rare-event (overflow) probabilities in Jackson queueing networks using importance sampling. The method differs in two ways from methods discussed in most earlier literature: the change of measure is state-dependent, i.e., it is a function of the content of the buffers, and the change of measure is determined using a cross-entropy-based adaptive procedure. This method yields asymptotically efficient estimation of overflow
doi:10.1109/wsc.2000.899776
dblp:conf/wsc/BoerNR00
fatcat:xmutqejpffb57b6x7p76jlspvi