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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Markov processes
Entropy

Cite this

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title = "Asymptotic optimality of the cross-entropy method for Markov chain problems",
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.",
author = "A.A.N. Ridder",
year = "2010",
doi = "10.1016/j.procs.2010.04.176",
language = "English",
volume = "1",
pages = "1571--1578",
journal = "Procedia Computer Science",
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Asymptotic optimality of the cross-entropy method for Markov chain problems. / Ridder, A.A.N.

In: Procedia Computer Science, Vol. 1, No. 1, 2010, p. 1571-1578.

Research output: Contribution to JournalArticleAcademicpeer-review

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T1 - Asymptotic optimality of the cross-entropy method for Markov chain problems

AU - Ridder, A.A.N.

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DO - 10.1016/j.procs.2010.04.176

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