State-dependent importance sampling schemes via minimum cross-entropy

DOI10.1007/S10479-009-0611-7zbMATH Open1279.60094DBLPjournals/anor/RidderT11OpenAlexW2066474460WikidataQ62117585 ScholiaQ62117585MaRDI QIDQ666378FDOQ666378

Authors: A. Ridder, Thomas Taimre 

Publication date: 8 March 2012

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

Full work available at URL: https://doi.org/10.1007/s10479-009-0611-7

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zbMATH Keywords

cross-entropyimportance samplingrare eventsstate dependence

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Large deviations (60F10) Measures of information, entropy (94A17) Sampling theory in information and communication theory (94A20)

Cites Work

• A first course in stochastic models.
• Information Theory and Statistical Mechanics
• Title not available (Why is that?)
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• Simulation and the Monte Carlo Method
• Introduction to rare event simulation.
• On large deviations theory and asymptotically efficient Monte Carlo estimation
• Importance Sampling, Large Deviations, and Differential Games
• Fast simulation of rare events in queueing and reliability models
• A stochastic minimum cross-entropy method for combinatorial optimization and rare-event estimation
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
• A Note on Minimum Discrimination Information
• Counterexamples in importance sampling for large deviations probabilities
• Complete corrected diffusion approximations for the maximum of a random walk

Cited In (2)

• Alternative proof and interpretations for a recent state-dependent importance sampling scheme
• State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables

Uses Software

• MCQueue

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