The cross-entropy method with patching for rare-event simulation of large Markov chains
From MaRDI portal
Publication:613460
DOI10.1016/j.ejor.2010.07.002zbMath1208.65020OpenAlexW1999890375MaRDI QIDQ613460
Publication date: 20 December 2010
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://papers.tinbergen.nl/09084.pdf
algorithmimportance samplingnumerical examplesrare eventscross-entropyJackson networksqueueing modelslarge-scale Markov chainsMarkovian reliability models
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The transform likelihood ratio method for rare event simulation with heavy tails
- A combined splitting-cross entropy method for rare-event probability estimation of queueing networks
- Adapative importance sampling on discrete Markov chains
- Dynamic importance sampling for uniformly recurrent Markov chains
- Sample path large deviations and convergence parameters
- Introduction to rare event simulation.
- Dynamic importance sampling for queueing networks
- Multilevel Splitting for Estimating Rare Event Probabilities
- Importance Sampling for Stochastic Simulations
- Performance Modelling and Markov Chains
- Fast Simulation of Markov Chains with Small Transition Probabilities
- A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks
- Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
- Rare Event Simulation using Monte Carlo Methods
- A quick simulation method for excessive backlogs in networks of queues
- Optimally efficient estimation of the statistics of rare events in queueing networks
- An algorithmic approach to the optimization of importance sampling parameters in digital communication system simulation
- Importance Sampling for the Simulation of Highly Reliable Markovian Systems
- Comparison of Partitioning Techniques for Two-Level Iterative Solvers on Large, Sparse Markov Chains
- Efficient simulation of a tandem Jackson network
- Combining importance sampling and temporal difference control variates to simulate Markov Chains
- Efficient simulation of buffer overflow probabilities in jackson networks with feedback
- Analysis of state-independent importance-sampling measures for the two-node tandem queue
- Efficient importance sampling heuristics for the simulation of population overflow in Jackson networks
- Asymptotic robustness of estimators in rare-event simulation
- On the Choice of Alternative Measures in Importance Sampling with Markov Chains
- Analysis of an importance sampling estimator for tandem queues
- Fast simulation of rare events in queueing and reliability models
- Elements of Information Theory
This page was built for publication: The cross-entropy method with patching for rare-event simulation of large Markov chains
