A combined splitting—cross entropy method for rare-event probability estimation of queueing networks

We present a fast algorithm for the efficient estimation of rare-event (buffer overflow) probabilities in queueing networks. Our algorithm presents a combined version of two well known methods: the splitting and the cross-entropy (CE) method. We call the new method SPLITCE. In this method, the optim...

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Bibliographic Details
Published in:	Annals of operations research Vol. 189; no. 1; pp. 167 - 185
Main Author:	Garvels, M. J. J.
Format:	Journal Article
Language:	English
Published:	Boston Springer US 01.09.2011 Springer Science + Business Media Springer Springer Nature B.V
Subjects:	Algorithms Analysis Buffers Business and Management Combinatorics Entropy Estimating techniques Importance sampling Mathematical models Methods Monte Carlo simulation Networks Operations research Operations Research/Decision Theory Probability Queues Queuing Simulation Splitting Studies Theory of Computation Splitting Rare events Simulation Cross-entropy Importance sampling
ISSN:	0254-5330, 1572-9338
Online Access:	Get full text
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