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

Bahar Kaynar Ad Ridder

Published in: Eur. J. Oper. Res. (2010)

Keyphrases

cross entropy
markov chain
pairwise
classification accuracy
error function
information retrieval
similarity measure
bayesian networks
active learning
dynamic programming
maximum likelihood
graph cuts
non stationary
closed form
evaluation metrics
importance sampling