Semiparametric Cross Entropy for Rare-Event Simulation

SSRN Electronic Journal ◽

10.2139/ssrn.2319292 ◽

2013 ◽

Author(s):

Zdravko Botev ◽

Ad Ridder ◽

Leonardo Rojas-Nandayapa

Keyword(s):

Rare Event ◽

Cross Entropy ◽

Rare Event Simulation ◽

Event Simulation

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Efficient rare event simulation for heavy-tailed systems via cross entropy

Proceedings of the 2011 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2011.6147781 ◽

2011 ◽

Cited By ~ 3

Author(s):

Jose Blanchet ◽

Yixi Shi

Keyword(s):

Rare Event ◽

Cross Entropy ◽

Rare Event Simulation ◽

Event Simulation ◽

Heavy Tailed

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

European Journal of Operational Research ◽

10.1016/j.ejor.2010.07.002 ◽

2010 ◽

Vol 207 (3) ◽

pp. 1380-1397 ◽

Cited By ~ 12

Author(s):

Bahar Kaynar ◽

Ad Ridder

Keyword(s):

Markov Chains ◽

Rare Event ◽

Entropy Method ◽

Cross Entropy ◽

Rare Event Simulation ◽

Event Simulation ◽

Cross Entropy Method ◽

The Cross

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Cross-Entropy-based Importance Sampling with Projection in Low Dimensional Subspace for Rare Event Simulation in High Dimension

Proceedings of the 30th European Safety and Reliability Conference and 15th Probabilistic Safety Assessment and Management Conference ◽

10.3850/978-981-14-8593-0_5795-cd ◽

2020 ◽

Author(s):

Maxime El Masri ◽

Jérôme Morio ◽

Florian Simatos

Keyword(s):

Importance Sampling ◽

High Dimension ◽

Rare Event ◽

Dimensional Subspace ◽

Cross Entropy ◽

Rare Event Simulation ◽

Event Simulation ◽

Low Dimensional

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Rare-Event Simulation of Non-Markovian Queueing Networks Using a State-Dependent Change of Measure Determined Using Cross-Entropy

Annals of Operations Research ◽

10.1007/s10479-005-5725-y ◽

2005 ◽

Vol 134 (1) ◽

pp. 69-100 ◽

Cited By ~ 4

Author(s):

Pieter-Tjerk de Boer

Keyword(s):

Queueing Networks ◽

Rare Event ◽

Cross Entropy ◽

Rare Event Simulation ◽

Change Of Measure ◽

Event Simulation ◽

State Dependent ◽

Dependent Change ◽

Markovian Queueing Networks

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Minimum Cross-entropy Methods for Rare-event Simulation

SIMULATION ◽

10.1177/0037549707087713 ◽

2007 ◽

Vol 83 (11) ◽

pp. 769-784 ◽

Cited By ~ 3

Author(s):

Ad Ridder ◽

Reuven Rubinstein

Keyword(s):

Rare Event ◽

Cross Entropy ◽

Rare Event Simulation ◽

Entropy Methods ◽

Event Simulation ◽

Minimum Cross Entropy

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Efficient rare event simulation for heavy-tailed systems via cross entropy

Operations Research Letters ◽

10.1016/j.orl.2013.02.004 ◽

2013 ◽

Vol 41 (3) ◽

pp. 271-276 ◽

Cited By ~ 2

Author(s):

Jose Blanchet ◽

Yixi Shi

Keyword(s):

Rare Event ◽

Cross Entropy ◽

Rare Event Simulation ◽

Event Simulation ◽

Heavy Tailed

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Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation

SIAM/ASA Journal on Uncertainty Quantification ◽

10.1137/20m1344585 ◽

2021 ◽

Vol 9 (2) ◽

pp. 818-847

Author(s):

Felipe Uribe ◽

Iason Papaioannou ◽

Youssef M. Marzouk ◽

Daniel Straub

Keyword(s):

Dimension Reduction ◽

Importance Sampling ◽

Rare Event ◽

Cross Entropy ◽

Rare Event Simulation ◽

Event Simulation

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Generalized Cross-entropy Methods with Applications to Rare-event Simulation and Optimization

SIMULATION ◽

10.1177/0037549707087067 ◽

2007 ◽

Vol 83 (11) ◽

pp. 785-806 ◽

Cited By ~ 27

Author(s):

Z.I. Botev ◽

D.P. Kroese ◽

T. Taimre

Keyword(s):

Rare Event ◽

Cross Entropy ◽

Rare Event Simulation ◽

Entropy Methods ◽

Simulation And Optimization ◽

Event Simulation ◽

Generalized Cross Entropy

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The Cross-Entropy Method with Patching for Rare-Event Simulation of Large Markov Chains

SSRN Electronic Journal ◽

10.2139/ssrn.1480678 ◽

2009 ◽

Author(s):

Bahar Kaynar ◽

Ad Ridder

Keyword(s):

Markov Chains ◽

Rare Event ◽

Entropy Method ◽

Cross Entropy ◽

Rare Event Simulation ◽

Event Simulation ◽

Cross Entropy Method ◽

The Cross

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Multifidelity Preconditioning of the Cross-Entropy Method for Rare Event Simulation and Failure Probability Estimation

SIAM/ASA Journal on Uncertainty Quantification ◽

10.1137/17m1122992 ◽

2018 ◽

Vol 6 (2) ◽

pp. 737-761 ◽

Cited By ~ 13

Author(s):

Benjamin Peherstorfer ◽

Boris Kramer ◽

Karen Willcox

Keyword(s):

Failure Probability ◽

Rare Event ◽

Entropy Method ◽

Cross Entropy ◽

Probability Estimation ◽

Rare Event Simulation ◽

Event Simulation ◽

Cross Entropy Method ◽

The Cross

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