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

Published 9 Mar 2010 in math.PR and stat.CO | (1003.1950v1)

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.

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