Asymptotic optimality of the cross-entropy method for Markov chain problems

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

The correspondence between the cross-entropy method and the zero-variance approximation to simulate a rare event problem in Markov chains is shown. This leads to a sufficient condition that the cross-entropy estimator is asymptotically optimal.
Original languageEnglish
Pages (from-to)1571-1578
JournalProcedia Computer Science
Volume1
Issue number1
Early online date23 Jun 2010
DOIs
Publication statusPublished - 2010

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