Importance sampling simulations of Markovian reliability systems using cross-entropy

DOI10.1007/S10479-005-5727-9MaRDI QIDQ2485929zbMATH OpenOpenAlexFDO

Authors A. Ridder

Publication date 5 August 2005

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

Full work available at URL https://doi.org/10.1007/s10479-005-5727-9

zbMATH Keywords

cross entropyimportance samplingMarkov chainsrare event simulationreliability

Mathematics Subject Classification ID

Reliability, availability, maintenance, inspection in operations research (90B25) Markov and semi-Markov decision processes (90C40)

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Cites work

• A fast cross-entropy method for estimating buffer overflows in queueing networks
• Application of the cross-entropy method to the buffer allocation problem in a simulation-based environment
• Fast simulation of Markov chains with small transition probabilities
• Fast simulation of rare events in queueing and reliability models
• scientific article; zbMATH DE number 879791 (Why is no real title available?)
• Importance Sampling for the Simulation of Highly Reliable Markovian Systems
• Optimization of computer simulation models with rare events
• The cross-entropy method for combinatorial and continuous optimization
• The cross-entropy method for network reliability estimation

Cited in

(17)

• Minimization of a class of rare event probabilities and buffered probabilities of exceedance
• From differential to difference importance measures for Markov reliability models
• Reliability measures for two-part partition of states for aggregated Markov repairable systems
• Efficient rare event simulation for heavy-tailed systems via cross entropy
• A tutorial on the cross-entropy method
• Semiparametric cross entropy for rare-event simulation
• Fast simulation of Markov chains with small transition probabilities
• Command-based importance sampling for statistical model checking
• Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
• Applications of the cross-entropy method to importance sampling and optimal control of diffusions
• Estimation of rare event probabilities in stochastic networks with exponential and beta probability distributions
• Applications of the Cross-Entropy Method in Reliability
• The cross-entropy method with patching for rare-event simulation of large Markov chains
• Approximating zero-variance importance sampling in a reliability setting
• State-dependent importance sampling schemes via minimum cross-entropy
• Improved cross-entropy method for estimation
• Estimation of failure probabilities of linear dynamic systems by importance sampling

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