Asymptotic optimality of the cross-entropy method for Markov chain problems
Probability
2010-03-10 v1 Computation
Abstract
The correspondence between the cross-entropy method and the zero-variance approximation to simulate a rare event problem in Markov chains is shown. This leads to a sufficient condition that the cross-entropy estimator is asymptotically optimal.
Cite
@article{arxiv.1003.1950,
title = {Asymptotic optimality of the cross-entropy method for Markov chain problems},
author = {Ad Ridder},
journal= {arXiv preprint arXiv:1003.1950},
year = {2010}
}
Comments
13 pager; 3 figures