State-dependent importance sampling schemes via minimum cross-entropy

DOI10.1007/S10479-009-0611-7MaRDI QIDQ666378zbMATH OpenOpenAlexDBLPWikidataFDO

Authors A. Ridder, Thomas Taimre

Publication date 8 March 2012

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

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

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

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)

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Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• A Note on Minimum Discrimination Information
• A first course in stochastic models.
• A stochastic minimum cross-entropy method for combinatorial optimization and rare-event estimation
• Complete corrected diffusion approximations for the maximum of a random walk
• Counterexamples in importance sampling for large deviations probabilities
• Fast simulation of rare events in queueing and reliability models
• Importance Sampling, Large Deviations, and Differential Games
• Information Theory and Statistical Mechanics
• Introduction to rare event simulation.
• On large deviations theory and asymptotically efficient Monte Carlo estimation
• Simulation and the Monte Carlo Method
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

Cited in

(2)

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

Describes a project that uses

Uses Software

• MCQueue

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