A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks
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DOI: 10.1287/mnsc.1030.0139
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References listed on IDEAS
- Rubinstein, Reuven Y., 1997. "Optimization of computer simulation models with rare events," European Journal of Operational Research, Elsevier, vol. 99(1), pages 89-112, May.
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- Chan, Joshua & Eisenstat, Eric, 2012. "Marginal Likelihood Estimation with the Cross-Entropy Method," MPRA Paper 40051, University Library of Munich, Germany.
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- Pieter-Tjerk de Boer, 2005. "Rare-Event Simulation of Non-Markovian Queueing Networks Using a State-Dependent Change of Measure Determined Using Cross-Entropy," Annals of Operations Research, Springer, vol. 134(1), pages 69-100, February.
- Bahar Kaynar & Ad Ridder, 2009. "The Cross-Entropy Method with Patching for Rare-Event Simulation of Large Markov Chains," Tinbergen Institute Discussion Papers 09-084/4, Tinbergen Institute.
- Ad Ridder, 2005. "Importance Sampling Simulations of Markovian Reliability Systems Using Cross-Entropy," Annals of Operations Research, Springer, vol. 134(1), pages 119-136, February.
- Pieter-Tjerk de Boer & Dirk Kroese & Shie Mannor & Reuven Rubinstein, 2005. "A Tutorial on the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 19-67, February.
- K.-P. Hui & N. Bean & M. Kraetzl & Dirk Kroese, 2005. "The Cross-Entropy Method for Network Reliability Estimation," Annals of Operations Research, Springer, vol. 134(1), pages 101-118, February.
- Cadini, F. & Santos, F. & Zio, E., 2014. "An improved adaptive kriging-based importance technique for sampling multiple failure regions of low probability," Reliability Engineering and System Safety, Elsevier, vol. 131(C), pages 109-117.
- Kaynar, Bahar & Ridder, Ad, 2010. "The cross-entropy method with patching for rare-event simulation of large Markov chains," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1380-1397, December.
- Loretta Mastroeni & Giuseppe D'Acquisto & Maurizio Naldi, 2014. "Evaluation of Credit Risk Under Correlated Defaults: The Cross-Entropy Simulation Approach," Departmental Working Papers of Economics - University 'Roma Tre' 0193, Department of Economics - University Roma Tre.
- Kamil Demirberk Ünlü & Ali Devin Sezer, 2020. "Excessive backlog probabilities of two parallel queues," Annals of Operations Research, Springer, vol. 293(1), pages 141-174, October.
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- M. Garvels, 2011. "A combined splitting—cross entropy method for rare-event probability estimation of queueing networks," Annals of Operations Research, Springer, vol. 189(1), pages 167-185, September.
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Keywords
importance sampling; rare events; cross-entropy; queueing networks; simulation;All these keywords.
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