The cross-entropy method with patching for rare-event simulation of large Markov chains

European Journal of Operational Research

Volumn 207, Issue 3, 2010, Pages 1380-1397

  Kaynar, Bahar ^a   Ridder, Ad ^a  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Cross entropy; Importance sampling; Large scale Markov chains; Rare events

Indexed keywords

CROSS ENTROPY; CROSS-ENTROPY METHOD; IMPORTANCE SAMPLING; IMPORTANCE SAMPLING METHOD; JACKSON NETWORKS; MARKOV CHAIN; MARKOVIAN; QUEUEING MODEL; RARE EVENT; RARE EVENT PROBABILITIES; RARE EVENT SIMULATION; RELATIVE ERRORS; RELIABILITY MODEL; RUNNING TIME; STATE SPACE; STATE-DEPENDENT;

ALGORITHMS; MARKOV PROCESSES; QUEUEING THEORY;

ENTROPY;

EID: 77957692431     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2010.07.002     Document Type: Article

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