State-dependent importance sampling schemes via minimum cross-entropy
نویسندگان
چکیده
منابع مشابه
State-dependent importance sampling schemes via minimum cross-entropy
We present a method to obtain stateand time-dependent importance sampling estimators by repeatedly solving a minimum cross-entropy (MCE) program as the simulation progresses. This MCE-based approach lends a foundation to the natural notion to stop changing the measure when it is no longer needed. We use this method to obtain a stateand time-dependent estimator for the one-tailed probability of ...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2009
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-009-0611-7