138 search results - page 1 / 28 » A Study on the Cross-Entropy Method for Rare-Event Probabili... |
INFORMS
2007
13 years 4 months ago
2007
CORR
2006
Springer
13 years 4 months ago
2006
Springer
The cross-entropy method (CE) developed by R. Rubinstein is an elegant practical principle for simulating rare events. The method approximates the probability of the rare event by...
WSC
2007
13 years 6 months ago
2007
We study an approximation for the zero-variance change of measure to estimate the probability of a rare event in a continuous-time Markov chain. The rare event occurs when the cha...
QEST
2010
IEEE
13 years 2 months ago
2010
IEEE
Stochastic model checking has been used recently to assess, among others, dependability measures for a variety of systems. However, the employed numerical methods, as, e.g., suppor...
WSC
2004
13 years 5 months ago
2004
We consider the problem of estimating the small probability that a function of a finite number of random variables exceeds a large threshold. Each input random variable may be lig...