The cross-entropy method with patching for rare-event simulation of large Markov chains
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Cites work
- A combined splitting-cross entropy method for rare-event probability estimation of queueing networks
- A fast cross-entropy method for estimating buffer overflows in queueing networks
- A quick simulation method for excessive backlogs in networks of queues
- Adapative importance sampling on discrete Markov chains
- Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
- An algorithmic approach to the optimization of importance sampling parameters in digital communication system simulation
- Analysis of an importance sampling estimator for tandem queues
- Analysis of state-independent importance-sampling measures for the two-node tandem queue
- Asymptotic robustness of estimators in rare-event simulation
- Combining importance sampling and temporal difference control variates to simulate Markov Chains
- Comparison of Partitioning Techniques for Two-Level Iterative Solvers on Large, Sparse Markov Chains
- Dynamic importance sampling for queueing networks
- Dynamic importance sampling for uniformly recurrent Markov chains
- Efficient importance sampling heuristics for the simulation of population overflow in Jackson networks
- Efficient simulation of a tandem Jackson network
- Efficient simulation of buffer overflow probabilities in Jackson networks with feedback
- Elements of Information Theory
- Fast simulation of Markov chains with small transition probabilities
- Fast simulation of rare events in queueing and reliability models
- Handbooks in operations research and management science: Simulation
- scientific article; zbMATH DE number 847278 (Why is no real title available?)
- scientific article; zbMATH DE number 879791 (Why is no real title available?)
- scientific article; zbMATH DE number 1424145 (Why is no real title available?)
- Importance Sampling for Stochastic Simulations
- Importance Sampling for the Simulation of Highly Reliable Markovian Systems
- Introduction to rare event simulation.
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
- Multilevel splitting for estimating rare event probabilities
- On the Choice of Alternative Measures in Importance Sampling with Markov Chains
- Optimally efficient estimation of the statistics of rare events in queueing networks
- Performance modelling and Markov chains
- Rare Event Simulation using Monte Carlo Methods
- Sample path large deviations and convergence parameters
- The transform likelihood ratio method for rare event simulation with heavy tails
Cited in
(4)- Fast simulation of Markov chains with small transition probabilities
- Simulating Markov-reward processes with rare events
- Estimation of rare event probabilities in stochastic networks with exponential and beta probability distributions
- Path-ZVA: general, efficient, and automated importance sampling for highly reliable Markovian systems
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