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

DOI10.1016/j.ejor.2010.07.002zbMath1208.65020MaRDI QIDQ613460

Ad Ridder, Bahar Kaynar

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

zbMATH Keywords

algorithm; importance sampling; numerical examples; rare events; cross-entropy; Jackson networks; queueing models; large-scale Markov chains; Markovian reliability models

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62D05: Sampling theory, sample surveys

65C40: Numerical analysis or methods applied to Markov chains

62N05: Reliability and life testing

Uses Software

• MARCA

Cites Work

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