Article ID: | iaor20073877 |
Country: | United States |
Volume: | 50 |
Issue: | 7 |
Start Page Number: | 883 |
End Page Number: | 895 |
Publication Date: | Jul 2004 |
Journal: | Management Science |
Authors: | Rubinstein Reuven Y., Kroese Dirk P., Boer P.T. de |
Keywords: | queueing networks |
In this paper, we propose a fast adaptive importance sampling method for the efficient simulation of buffer overflow probabilities in queueing networks. The method comprises three stages. First, we estimate the minimum cross-entropy tilting parameter for a small buffer level; next, we use this as a starting value for the estimation of the optimal tilting parameter for the actual (large) buffer level. Finally, the tilting parameter just found is used to estimate the overflow probability of interest. We study various properties of the method in more detail for the