An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting

DOI10.1007/s11009-008-9073-7zbMath1293.65004OpenAlexW2055755416WikidataQ56689537 ScholiaQ56689537MaRDI QIDQ398785

Dirk P. Kroese, Zdravko I. Botev

Publication date: 15 August 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9073-7

zbMATH Keywords

importance samplingkernel density estimationexact samplingcombinatorial countinglikelihood ratio degeneracyrare-event probability estimation

Mathematics Subject Classification ID

Computational learning theory (68Q32) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• RESTART

Cites Work

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• How many needles are in a haystack, or how to solve \#P-complete counting problems fast
• A stochastic minimum cross-entropy method for combinatorial optimization and rare-event estimation
• Sequential Monte Carlo Methods in Practice
• Exact sampling with coupled Markov chains and applications to statistical mechanics