A fast cross-entropy method for estimating buffer overflows in queueing networks

Management Science

Volumn 50, Issue 7, 2004, Pages 883-895

  De Boer, P T ^a   Kroese, D P ^b   Rubinstein, R Y ^c  

^a UNIVERSITY OF TWENTE   (Netherlands)

^b UNIVERSITY OF QUEENSLAND   (Australia)

^c TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

Author keywords

Cross entropy; Importance sampling; Queueing networks; Rare events; Simulation

Indexed keywords

ADAPTIVE CONTROL SYSTEMS; ALGORITHMS; COMPUTATIONAL COMPLEXITY; COMPUTER SIMULATION; MANAGEMENT SCIENCE; MATHEMATICAL MODELS; OPTIMAL SYSTEMS; PARAMETER ESTIMATION; PROBABILITY; STOCHASTIC CONTROL SYSTEMS; VECTORS;

CROSS ENTROPY; IMPORTANCE SAMPLING (IS); QUEUING NETWORKS; RARE EVENTS;

SAMPLING;

EID: 3242883001     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.1030.0139     Document Type: Article

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