Importance sampling simulations of Markovian reliability systems using cross-entropy

DOI10.1007/s10479-005-5727-9zbMath1075.90023OpenAlexW2134519345MaRDI QIDQ2485929

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Publication date: 5 August 2005

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-005-5727-9

zbMATH Keywords

reliabilityMarkov chainsimportance samplingrare event simulationcross entropy

Mathematics Subject Classification ID

Reliability, availability, maintenance, inspection in operations research (90B25) Markov and semi-Markov decision processes (90C40)

Related Items (5)

Command-based importance sampling for statistical model checking ⋮ Reliability measures for two-part partition of states for aggregated Markov repairable systems ⋮ Minimization of a class of rare event probabilities and buffered probabilities of exceedance ⋮ Improved cross-entropy method for estimation ⋮ A tutorial on the cross-entropy method

Cites Work

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• Optimization of computer simulation models with rare events
• The cross-entropy method for combinatorial and continuous optimization
• The cross-entropy method for network reliability estimation
• Application of the cross-entropy method to the buffer allocation problem in a simulation-based environment
• Fast Simulation of Markov Chains with Small Transition Probabilities
• A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks
• Importance Sampling for the Simulation of Highly Reliable Markovian Systems
• Fast simulation of rare events in queueing and reliability models

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