Asymptotic optimality of the cross-entropy method for Markov chain problems
classification
🧮 math.PR
stat.CO
keywords
cross-entropymarkovmethodapproximationasymptoticasymptoticallychainchains
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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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