Adaptive importance sampling simulation of queueing networks

P.-T. De Boer, V.F. Nicola, R.Y. Rubinstein
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
more » ... ilities of queueing models for which it has been shown that methods using a stateindependent change of measure are not asymptotically efficient. Numerical results demonstrating the effectiveness of the method are presented as well.
doi:10.1109/wsc.2000.899776 dblp:conf/wsc/BoerNR00 fatcat:xmutqejpffb57b6x7p76jlspvi