State-dependent importance sampling schemes via minimum cross-entropy

DOI10.1007/s10479-009-0611-7zbMath1279.60094OpenAlexW2066474460WikidataQ62117585 ScholiaQ62117585MaRDI QIDQ666378

Ad Ridder, Thomas Taimre

Publication date: 8 March 2012

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

Full work available at URL: https://doi.org/10.1007/s10479-009-0611-7

zbMATH Keywords

importance samplingrare eventscross-entropystate dependence

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Large deviations (60F10) Measures of information, entropy (94A17) Sampling theory in information and communication theory (94A20)

Uses Software

• MCQueue

Cites Work

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• Complete corrected diffusion approximations for the maximum of a random walk
• Counterexamples in importance sampling for large deviations probabilities
• Introduction to rare event simulation.
• A stochastic minimum cross-entropy method for combinatorial optimization and rare-event estimation
• Information Theory and Statistical Mechanics
• On large deviations theory and asymptotically efficient Monte Carlo estimation
• Importance Sampling, Large Deviations, and Differential Games
• Fast simulation of rare events in queueing and reliability models
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
• Simulation and the Monte Carlo Method
• A Note on Minimum Discrimination Information

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