09-084/4 - The Cross-Entropy Method with Patching for Rare-Event Simulation of Large Markov Chains

• Authors
  Bahar Kaynar, VU University Amsterdam; Ad Ridder, VU University Amsterdam
• Publication date
  September 30, 2009

• Keywords
  Cross-Entropy, Rare Events, Importance Sampling, Large-Scale Markov Chains
• JEL
  C6