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

DOI10.1007/s10479-009-0608-2zbMath1233.90114MaRDI QIDQ666360

M. J. J. Garvels

Publication date: 8 March 2012

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

Full work available at URL: https://doi.org/10.1007/s10479-009-0608-2

zbMATH Keywords

simulation; importance sampling; rare events; splitting; cross-entropy

Mathematics Subject Classification ID

90B15: Stochastic network models in operations research

90B22: Queues and service in operations research

Related Items

Rare event simulation for steady-state probabilities via recurrency cycles, The Splitting Method for Decision Making, Analysis of an interacting particle method for rare event estimation, Point process-based Monte Carlo estimation, The cross-entropy method with patching for rare-event simulation of large Markov chains, A combined splitting-cross entropy method for rare-event probability estimation of queueing networks, Accelerated consistent estimation of a high load probability in \(M/G/1\) and \(GI/G/1\) queues, Rare event simulation and splitting for discontinuous random variables, On the Use of Smoothing to Improve the Performance of the Splitting Method, Counting with Combined Splitting and Capture–Recapture Methods

Cites Work

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