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

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  • M. Garvels

Abstract

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 optimal change of measure (importance sampling) is determined adaptively by using the CE method. Simulation results for a single queue and queueing networks of the ATM-type are presented. Our numerical results demonstrate higher efficiency of the proposed method as compared to the original splitting and CE methods. In particular, for a single server queue example we demonstrate numerically that both the splitting and the SPLITCE methods can handle our buffer overflow example problems with both light and heavy tails efficiently. Further research must show the full potential of the proposed method. Copyright Springer Science+Business Media, LLC 2011

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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.
    • Handle: RePEc:spr:annopr:v:189:y:2011:i:1:p:167-185:10.1007/s10479-009-0608-2
    DOI: 10.1007/s10479-009-0608-2
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    References listed on IDEAS

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    1. P. T. de Boer & D. P. Kroese & R. Y. Rubinstein, 2004. "A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks," Management Science, INFORMS, vol. 50(7), pages 883-895, July.
    2. Peter W. Glynn & Ward Whitt, 1992. "The Asymptotic Efficiency of Simulation Estimators," Operations Research, INFORMS, vol. 40(3), pages 505-520, June.
    3. Reuven Rubinstein, 1999. "The Cross-Entropy Method for Combinatorial and Continuous Optimization," Methodology and Computing in Applied Probability, Springer, vol. 1(2), pages 127-190, September.
    4. Reuven Rubinstein, 2009. "The Gibbs Cloner for Combinatorial Optimization, Counting and Sampling," Methodology and Computing in Applied Probability, Springer, vol. 11(4), pages 491-549, December.
    5. Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin & Tim Zajic, 1999. "Multilevel Splitting for Estimating Rare Event Probabilities," Operations Research, INFORMS, vol. 47(4), pages 585-600, August.
    6. Zdravko I. Botev & Dirk P. Kroese, 2008. "An Efficient Algorithm for Rare-event Probability Estimation, Combinatorial Optimization, and Counting," Methodology and Computing in Applied Probability, Springer, vol. 10(4), pages 471-505, December.
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