Asymptotic optimality of the cross-entropy method for Markov chain problems

Details Asymptotic optimality of the cross-entropy method for Markov chain problems Asymptotic optimality of the cross-entropy method for Markov chain problems

2010-03-09

arxiv.org/abs/1003.1950v1

Mathematics

Probability

13 pager; 3 figures

Scientific paper

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.

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