Efficient rare event simulation for heavy-tailed systems via cross entropy
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Publication:2450619
DOI10.1016/j.orl.2013.02.004zbMath1286.62046OpenAlexW1976920413MaRDI QIDQ2450619
Publication date: 14 May 2014
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2013.02.004
Cites Work
- Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- A comparison of cross-entropy and variance minimization strategies
- A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks