The cross-entropy method with patching for rare-event simulation of large Markov chains

A.A.N. Ridder, B. Kaynar

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as Markovian reliability models and Jackson networks. In this work, we present a general state-dependent importance sampling method which partitions the state space and applies the cross-entropy method to each partition. We investigate two versions of our algorithm and apply them to several examples of reliability and queueing models. In all these examples we compare our method with other importance sampling schemes. The performance of the importance sampling schemes is measured by the relative error of the estimator and by the efficiency of the algorithm. The results from experiments show considerable improvements both in running time of the algorithm and the variance of the estimator. © 2010 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)1380-1397
JournalEuropean Journal of Operational Research
Volume207
DOIs
Publication statusPublished - 2010

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