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

DOI10.1007/s10479-009-0608-2zbMath1233.90114OpenAlexW2125054206MaRDI 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

simulationimportance samplingrare eventssplittingcross-entropy

Mathematics Subject Classification ID

Stochastic network models in operations research (90B15) Queues and service in operations research (90B22)

Related Items

Counting with Combined Splitting and Capture–Recapture Methods ⋮ Analysis of an interacting particle method for rare event estimation ⋮ The cross-entropy method with patching for rare-event simulation of large Markov chains ⋮ Rare event simulation for steady-state probabilities via recurrency cycles ⋮ A combined splitting-cross entropy method for rare-event probability estimation of queueing networks ⋮ The Splitting Method for Decision Making ⋮ Point process-based Monte Carlo estimation ⋮ 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

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