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

A.A.N. Ridder

doi:10.1016/j.procs.2010.04.176

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

A.A.N. Ridder

Amsterdam Business Research Institute

Research output: Contribution to Journal › Article › Academic › peer-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 language	English
Pages (from-to)	1571-1578
Journal	Procedia Computer Science
Volume	1
Issue number	1
Early online date	23 Jun 2010
DOIs	https://doi.org/10.1016/j.procs.2010.04.176
Publication status	Published - 2010

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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.",

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

Abstract

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