HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY

DOI10.1081/STM-200046472zbMath1073.62028OpenAlexW2037478404WikidataQ118141955 ScholiaQ118141955MaRDI QIDQ4678851

Dirk P. Kroese, Soren Asmussen, Reuven Y. Rubinstein

Publication date: 23 May 2005

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/stm-200046472

zbMATH Keywords

importance samplingGI/G/1 queuealgorithmic complexitymaximum likelihoodrandom walkWeibull distributioncross-entropyPareto distributionM/G/1 queuesubexponential distributionrare eventPollaczek-Khintchine formula

Mathematics Subject Classification ID

Parametric inference (62F99) Statistics of extreme values; tail inference (62G32) Probabilistic models, generic numerical methods in probability and statistics (65C20) Queueing theory (aspects of probability theory) (60K25) Statistical aspects of information-theoretic topics (62B10)

Related Items (14)

On the inefficiency of state-independent importance sampling in the presence of heavy tails ⋮ Marginal Likelihood Estimation with the Cross-Entropy Method ⋮ Learning methods for structural damage detection via entropy‐based sensors selection ⋮ A level-value estimation method and stochastic implementation for global optimization ⋮ Use in practice of importance sampling for repeated MCMC for Poisson models ⋮ Rare-event probability estimation with conditional Monte Carlo ⋮ IMPROVING THE NORMALIZED IMPORTANCE SAMPLING ESTIMATOR ⋮ Bounded Relative Error Importance Sampling and Rare Event Simulation ⋮ Improved cross-entropy method for estimation ⋮ A tutorial on the cross-entropy method ⋮ Adaptive importance sampling for simulating copula-based distributions ⋮ Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk ⋮ Improved algorithms for rare event simulation with heavy tails ⋮ Tail behavior of negatively associated heavy-tailed sums

Cites Work

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• The transform likelihood ratio method for rare event simulation with heavy tails
• Optimization of computer simulation models with rare events
• Rare events simulation for heavy-tailed distributions
• The cross-entropy method for combinatorial and continuous optimization
• Appendix: A primer on heavy-tailed distributions
• A tutorial on the cross-entropy method
• Applied Probability and Queues
• Fast simulation of rare events in queueing and reliability models

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