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Estimation of rare event probabilities using cross-entropy
10 references·0 citing·36 second hop
Estimation of rare event probabilities using cross-entropy (2003)Estimation of rare event probabilities us…A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks (2004)A Fast Cross-Entropy Method f…Multilevel Splitting for Estimating Rare Event Probabilities (1999)Multilevel Splitting for Esti…Modern simulation and modeling (1998)Modern simulation and modelingA comparison of RESTART implementations (1998)A comparison of RESTART imple…Optimization of computer simulation models with rare events (1997)Optimization of computer simu…Fast simulation of rare events in queueing and reliability models (1995)Fast simulation of rare event…Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method (1995)Discrete Event Systems: Sensi…Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method (1994)Discrete Event Systems: Sensi…Entropy optimization principles with applications (1993)Entropy optimization principl…Importance Sampling for Stochastic Simulations (1989)Importance Sampling for Stoch…Applied Probability and Queues (1987)A quick simulation method for excessive backlogs in networks of queues (1989)Acceleration of Stochastic Approximation by Averaging (1992)Proceedings of the 2002 Winter Simulation Conference (2002)Simulation optimization: A comprehensive review on theory and applications (2004)Proceedings of the 2017 Winter Simulation Conference (2017)Gradient Estimation via Perturbation Analysis (1991)Optimization via simulation: A review (1994)A simulation-based approach to two-stage stochastic programming with recourse (1998)A Guide to Sample Average Approximation (2014)Monte Carlo sampling-based methods for stochastic optimization (2014)Stability, queue length, and delay of deterministic and stochastic queueing networks (1994)Importance Sampling for Portfolio Credit Risk (2005)Rare Event Simulation using Monte Carlo Methods (2009)Introduction to Stochastic Processes (2014)CSIM (1986)Rare events, splitting, and quasi-Monte Carlo (2007)Asymptotic robustness of estimators in rare-event simulation (2010)Simulation and Estimation of Extreme Quantiles and Extreme Probabilities (2011)The Asymptotic Efficiency of Simulation Estimators (1992)On the efficiency of RESTART for multidimensional state systems (2006)A variant of importance splitting for rare event estimation (2011)Application of the Cross-Entropy Method to the Buffer Allocation Problem in a Simulation-Based Environment (2005)Strategies for finding the design point in non-linear finite element reliability analysis (2005)Improved algorithms for rare event simulation with heavy tails (2006)Minimax analysis of stochastic problems (2002)Stability of Stochastic Programming Problems (2003)Stochastic programming approach to optimization under uncertainty (2007)Likelihood ratio gradient estimation for stochastic systems (1990)Simulation-based optimization of Markov reward processes (2001)A nonparametric model of random uncertainties for reduced matrix models in structural dynamics (2000)Random matrix theory for modeling uncertainties in computational mechanics (2004)Non-Gaussian positive-definite matrix-valued random fields for elliptic stochastic partial differential operators (2005)Estimating buffer overflows in three stages using cross-entropy (2003)The Transform Likelihood Ratio Method for Rare Event Simulation with Heavy Tails (2004)Analysis of state-independent importance-sampling measures for the two-node tandem queue (2006)
this work references cited by second hop

References

  • 1997Optimization of computer simulation models with rare events682 cited
  • 1989Importance Sampling for Stochastic Simulations635 cited
  • 1995Fast simulation of rare events in queueing and reliability models546 cited
  • 1993Entropy optimization principles with applications493 cited
  • 1995Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method383 cited
  • 1994Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method270 cited
  • 1999Multilevel Splitting for Estimating Rare Event Probabilities252 cited
  • 1998Modern simulation and modeling212 cited
  • 2004A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks56 cited
  • 1998A comparison of RESTART implementations52 cited

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