The cross-entropy method with patching for rare-event simulation of large Markov chains
type: Item
instance of: scholarly article
title: The cross-entropy method with patching for rare-event simulation of large Markov chains
zbMATH Open document ID: 1208.65020
author: Bahar Kaynar
author: A. Ridder
published in: European Journal of Operational Research
publication date: 2010-12-20T00:00:00Z
full work available at URL: 09084.pdf
Mathematics Subject Classification ID: 65C40
Mathematics Subject Classification ID: 62N05
Mathematics Subject Classification ID: 60J22
Mathematics Subject Classification ID: 65C60
Mathematics Subject Classification ID: 62D05
zbMATH DE Number: 5828256
zbMATH Keywords: cross-entropy
zbMATH Keywords: rare events
zbMATH Keywords: importance sampling
zbMATH Keywords: large-scale Markov chains
zbMATH Keywords: numerical examples
zbMATH Keywords: Markovian reliability models
zbMATH Keywords: Jackson networks
zbMATH Keywords: algorithm
zbMATH Keywords: queueing models
describes a project that uses: MARCA
MaRDI profile type: Publication
OpenAlex ID: W1999890375
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DOI: 10.1016/J.EJOR.2010.07.002
description: scientific article; zbMATH DE number 5828256