Rare-event simulation of non-Markovian queueing networks using a state-dependent change of measure determined using cross-entropy

DOI10.1007/S10479-005-5725-YzbMath1074.90053OpenAlexW2144066092MaRDI QIDQ2485926

Pieter-Tjerk de Boer

Publication date: 5 August 2005

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://research.utwente.nl/en/publications/rareevent-simulation-of-nonmarkovian-queueing-networks-using-a-statedependent-change-of-measure-determined-using-crossentropy(ab53a00c-95cf-41bf-b5fc-2b68268a5e40).html

zbMATH Keywords

queueing networksrare-event simulationcross-entropy method

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Deterministic network models in operations research (90B10) Markov and semi-Markov decision processes (90C40)

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Cites Work

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• Optimally efficient estimation of the statistics of rare events in queueing networks
• An algorithmic approach to the optimization of importance sampling parameters in digital communication system simulation
• Analysis of an importance sampling estimator for tandem queues
• Fast simulation of rare events in queueing and reliability models

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