Estimating buffer overflows in three stages using cross-entropy

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 recognize three distinct properties of the method which together explain why the method works well; we conjecture that they hold for quite general queueing networks. Numerical results support this conjecture and demonstrate the high efficiency of the proposed algorithm.

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