A method is described for the efficient estimation of small overflow probabilities in nonMarkovian queueing network models.
The method uses importance sampling with a state-dependent change of measure, which is determined adaptively using the cross-entropy
method, thus avoiding the need for a detailed mathematical analysis. Experiments show that the use of rescheduling is needed
in order to get a significant simulation speedup, and that the method can be used to estimate overflow probabilities in a
two-node tandem queue network model for which simulation using a state-
independent change of measure does not work well.
Key words cross-entropy method - rare-event simulation - queueing networks