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 ◽

Author(s):

Jose Blanchet ◽

Yixi Shi

Keyword(s):

Cross Entropy ◽

Rare Event Simulation ◽

Event Simulation ◽

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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 ◽

Author(s):

Jose Blanchet ◽

Yixi Shi

Keyword(s):

Cross Entropy ◽

Rare Event Simulation ◽

Event Simulation ◽

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Rare-event simulation for radar threshold estimation in heavy-tailed sea clutter

2014 IEEE Workshop on Statistical Signal Processing (SSP) ◽

10.1109/ssp.2014.6884669 ◽

2014 ◽

Author(s):

Josef Zuk ◽

Luke Rosenberg

Keyword(s):

Rare Event Simulation ◽

Threshold Estimation ◽

Sea Clutter ◽

Event Simulation ◽

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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):

Cross Entropy ◽

Rare Event Simulation ◽

Event Simulation

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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 ◽

Author(s):

Bahar Kaynar ◽

Ad Ridder

Keyword(s):

Markov Chains ◽

Entropy Method ◽

Cross Entropy ◽

Rare Event Simulation ◽

Event Simulation ◽

Cross Entropy Method ◽

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Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations

ACM Transactions on Modeling and Computer Simulation ◽

10.1145/2517451 ◽

2013 ◽

Vol 23 (4) ◽

pp. 1-25 ◽

Author(s):

Jose Blanchet ◽

Henrik Hult ◽

Kevin Leder

Keyword(s):

Rare Event Simulation ◽

Event Simulation ◽

Recurrence Equations ◽

Stochastic Recurrence ◽

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Efficient splitting-based rare event simulation algorithms for heavy-tailed sums

2013 Winter Simulations Conference (WSC) ◽

10.1109/wsc.2013.6721465 ◽

2013 ◽

Author(s):

Jose Blanchet ◽

Yixi Shi

Keyword(s):

Rare Event Simulation ◽

Event Simulation ◽

Simulation Algorithms ◽

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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 ◽

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 ◽

Author(s):

Pieter-Tjerk de Boer

Keyword(s):

Queueing Networks ◽

Cross Entropy ◽

Rare Event Simulation ◽

Change Of Measure ◽

Event Simulation ◽

State Dependent ◽

Dependent Change ◽

Markovian Queueing Networks

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Rare-Event Simulation for Multiple Jump Events in Heavy-Tailed Lévy Processes with Infinite Activities

2020 Winter Simulation Conference (WSC) ◽

10.1109/wsc48552.2020.9383865 ◽

2020 ◽

Author(s):

Xingyu Wang ◽

Chang-Han Rhee

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Rare Event Simulation ◽

Event Simulation ◽

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Minimum Cross-entropy Methods for Rare-event Simulation

10.1177/0037549707087713 ◽

2007 ◽

Vol 83 (11) ◽

pp. 769-784 ◽

Author(s):

Ad Ridder ◽

Reuven Rubinstein

Keyword(s):

Cross Entropy ◽

Rare Event Simulation ◽

Entropy Methods ◽

Event Simulation ◽

Minimum Cross Entropy

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