State-dependent importance sampling schemes via minimum cross-entropy

DOI10.1007/s10479-009-0611-7zbMath1279.60094WikidataQ62117585 ScholiaQ62117585MaRDI QIDQ666378

Ad 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

zbMATH Keywords

importance sampling; rare events; cross-entropy; state dependence

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

60F10: Large deviations

94A17: Measures of information, entropy

94A20: Sampling theory in information and communication theory

Uses Software

• MCQueue

Cites Work

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• A Note on Minimum Discrimination Information