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Optimization of computer simulation models with rare events

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Cited by:

  1. Govindan, Kannan & Gholizadeh, Hadi, 2021. "Robust network design for sustainable-resilient reverse logistics network using big data: A case study of end-of-life vehicles," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 149(C).
  2. Erik Hintz & Marius Hofert & Christiane Lemieux & Yoshihiro Taniguchi, 2022. "Single-Index Importance Sampling with Stratification," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 3049-3073, December.
  3. Jiaqiao Hu & Hyeong Chang & Michael Fu & Steven Marcus, 2011. "Dynamic sample budget allocation in model-based optimization," Journal of Global Optimization, Springer, vol. 50(4), pages 575-596, August.
  4. Karim Sebaa & Abdelhalim Tlemçani & Mounir Bouhedda & Noureddine Henini, 2013. "Multiobjective Optimization Using Cross-Entropy Approach," Journal of Optimization, Hindawi, vol. 2013, pages 1-9, December.
  5. Fahimnia, Behnam & Sarkis, Joseph & Eshragh, Ali, 2015. "A tradeoff model for green supply chain planning:A leanness-versus-greenness analysis," Omega, Elsevier, vol. 54(C), pages 173-190.
  6. Angelia L. Grant & Joshua C.C. Chan, 2017. "A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 525-552, March.
  7. G. Alon & D. Kroese & T. Raviv & R. Rubinstein, 2005. "Application of the Cross-Entropy Method to the Buffer Allocation Problem in a Simulation-Based Environment," Annals of Operations Research, Springer, vol. 134(1), pages 137-151, February.
  8. Joshua C. C. Chan & Eric Eisenstat, 2015. "Marginal Likelihood Estimation with the Cross-Entropy Method," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 256-285, March.
  9. Agbeyegbe, Terence D., 2020. "Bayesian analysis of output gap in Barbados," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
  10. Adam Guetz & Susan Holmes, 2011. "Adaptive importance sampling for network growth models," Annals of Operations Research, Springer, vol. 189(1), pages 187-203, September.
  11. A. Shibu & M. Reddy, 2014. "Optimal Design of Water Distribution Networks Considering Fuzzy Randomness of Demands Using Cross Entropy Optimization," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 28(12), pages 4075-4094, September.
  12. Ludvík Friebel & Jana Friebelová, 2012. "Stochastic analysis of maintenance process costs in the IT industry: a case study," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(3), pages 393-408, September.
  13. Chan, Joshua C.C., 2023. "Comparing stochastic volatility specifications for large Bayesian VARs," Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
  14. Pieter-Tjerk de Boer, 2005. "Rare-Event Simulation of Non-Markovian Queueing Networks Using a State-Dependent Change of Measure Determined Using Cross-Entropy," Annals of Operations Research, Springer, vol. 134(1), pages 69-100, February.
  15. Heath, Jeffrey W. & Fu, Michael C. & Jank, Wolfgang, 2009. "New global optimization algorithms for model-based clustering," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 3999-4017, October.
  16. Arisara Romyen & Chukiat Chaiboonsri & Satawat Wannapan & Songsak Sriboonchitta, 2019. "Multi-Process-Based Maximum Entropy Bootstrapping Estimator: Application for Net Foreign Direct Investment in ASEAN," Economies, MDPI, vol. 7(3), pages 1-13, July.
  17. Stavros Lopatatzidis & Jasper Bock & Gert Cooman & Stijn Vuyst & Joris Walraevens, 2016. "Robust queueing theory: an initial study using imprecise probabilities," Queueing Systems: Theory and Applications, Springer, vol. 82(1), pages 75-101, February.
  18. Kaveh, Mehrdad & Mesgari, Mohammad Saadi & Saeidian, Bahram, 2023. "Orchard Algorithm (OA): A new meta-heuristic algorithm for solving discrete and continuous optimization problems," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 208(C), pages 95-135.
  19. Sze Him Leung & Ji Meng Loh & Chun Yip Yau & Zhengyuan Zhu, 2021. "Spatial Sampling Design Using Generalized Neyman–Scott Process," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 26(1), pages 105-127, March.
  20. Mattrand, C. & Bourinet, J.-M., 2014. "The cross-entropy method for reliability assessment of cracked structures subjected to random Markovian loads," Reliability Engineering and System Safety, Elsevier, vol. 123(C), pages 171-182.
  21. N-H Shih, 2005. "Estimating completion-time distribution in stochastic activity networks," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 56(6), pages 744-749, June.
  22. Zhen, Lu, 2014. "A three-stage optimization model for production and outsourcing under China’s export-oriented tax policies," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 69(C), pages 1-20.
  23. Singh, Vijay P. & Oh, Juik, 2015. "A Tsallis entropy-based redundancy measure for water distribution networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 360-376.
  24. Nguyen, Hoa T.M. & Chow, Andy H.F. & Ying, Cheng-shuo, 2021. "Pareto routing and scheduling of dynamic urban rail transit services with multi-objective cross entropy method," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 156(C).
  25. Jiaqiao Hu & Michael C. Fu & Steven I. Marcus, 2007. "A Model Reference Adaptive Search Method for Global Optimization," Operations Research, INFORMS, vol. 55(3), pages 549-568, June.
  26. Douek-Pinkovich, Yifat & Ben-Gal, Irad & Raviv, Tal, 2022. "The stochastic test collection problem: Models, exact and heuristic solution approaches," European Journal of Operational Research, Elsevier, vol. 299(3), pages 945-959.
  27. Kin-Ping Hui, 2011. "Cooperative Cross-Entropy method for generating entangled networks," Annals of Operations Research, Springer, vol. 189(1), pages 205-214, September.
  28. Jorge Ruiz-Vanoye & Ocotlán Díaz-Parra, 2011. "Similarities between meta-heuristics algorithms and the science of life," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 19(4), pages 445-466, December.
  29. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022. "An automated prior robustness analysis in Bayesian model comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
  30. Mathieu Balesdent & Jérôme Morio & Loïc Brevault, 2016. "Rare Event Probability Estimation in the Presence of Epistemic Uncertainty on Input Probability Distribution Parameters," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 197-216, March.
  31. Reuven Rubinstein, 1999. "The Cross-Entropy Method for Combinatorial and Continuous Optimization," Methodology and Computing in Applied Probability, Springer, vol. 1(2), pages 127-190, September.
  32. Joshua C. C. Chan & Eric Eisenstat, 2018. "Bayesian model comparison for time‐varying parameter VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
  33. Schubert, Stefanie & Schnabel, Reinhold, 2009. "Curing Germany's health care system by mandatory health premia?," Journal of Health Economics, Elsevier, vol. 28(5), pages 911-923, September.
  34. Ad Ridder, 2005. "Importance Sampling Simulations of Markovian Reliability Systems Using Cross-Entropy," Annals of Operations Research, Springer, vol. 134(1), pages 119-136, February.
  35. Anand Deo & Karthyek Murthy & Tirtho Sarker, 2022. "Combining Retrospective Approximation with Importance Sampling for Optimising Conditional Value at Risk," Papers 2206.12835, arXiv.org.
  36. Bekker, James & Aldrich, Chris, 2011. "The cross-entropy method in multi-objective optimisation: An assessment," European Journal of Operational Research, Elsevier, vol. 211(1), pages 112-121, May.
  37. Wang, Guibin & Zha, Yongxing & Wu, Ting & Qiu, Jing & Peng, Jian-chun & Xu, Gang, 2020. "Cross entropy optimization based on decomposition for multi-objective economic emission dispatch considering renewable energy generation uncertainties," Energy, Elsevier, vol. 193(C).
  38. João Ider & Adhimar Oliveira & Rero Rubinger & Ana Karoline Silva & Aluízio Assini & Geraldo Tiago-Filho & Marcia Baldissera, 2022. "Concentrated Solar Power with Thermoelectric Generator—An Approach Using the Cross-Entropy Optimization Method," Energies, MDPI, vol. 15(13), pages 1-11, June.
  39. Joshua Chan & Eric Eisenstat & Xuewen Yu, 2022. "Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis," Papers 2207.03988, arXiv.org.
  40. Qun Niu & Ming You & Zhile Yang & Yang Zhang, 2021. "Economic Emission Dispatch Considering Renewable Energy Resources—A Multi-Objective Cross Entropy Optimization Approach," Sustainability, MDPI, vol. 13(10), pages 1-33, May.
  41. Chan, Joshua C.C. & Grant, Angelia L., 2016. "Modeling energy price dynamics: GARCH versus stochastic volatility," Energy Economics, Elsevier, vol. 54(C), pages 182-189.
  42. Masoud Esmaeilikia & Behnam Fahimnia & Joeseph Sarkis & Kannan Govindan & Arun Kumar & John Mo, 2016. "A tactical supply chain planning model with multiple flexibility options: an empirical evaluation," Annals of Operations Research, Springer, vol. 244(2), pages 429-454, September.
  43. Benham, Tim & Duan, Qibin & Kroese, Dirk P. & Liquet, Benoît, 2017. "CEoptim: Cross-Entropy R Package for Optimization," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 76(i08).
  44. K.-P. Hui & N. Bean & M. Kraetzl & Dirk Kroese, 2005. "The Cross-Entropy Method for Network Reliability Estimation," Annals of Operations Research, Springer, vol. 134(1), pages 101-118, February.
  45. Papaioannou, Iason & Geyer, Sebastian & Straub, Daniel, 2019. "Improved cross entropy-based importance sampling with a flexible mixture model," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
  46. P. T. de Boer & D. P. Kroese & R. Y. Rubinstein, 2004. "A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks," Management Science, INFORMS, vol. 50(7), pages 883-895, July.
  47. L. Margolin, 2005. "On the Convergence of the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 201-214, February.
  48. Hu, Jiaqiao & Su, Zheng, 2008. "Bootstrap quantile estimation via importance resampling," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5136-5142, August.
  49. Bourinet, J.-M., 2016. "Rare-event probability estimation with adaptive support vector regression surrogates," Reliability Engineering and System Safety, Elsevier, vol. 150(C), pages 210-221.
  50. Ferdinand Bollwein & Stephan Westphal, 2022. "Oblique decision tree induction by cross-entropy optimization based on the von Mises–Fisher distribution," Computational Statistics, Springer, vol. 37(5), pages 2203-2229, November.
  51. Mohammad Hassan Salmani & Kourosh Eshghi, 2017. "A Metaheuristic Algorithm Based on Chemotherapy Science: CSA," Journal of Optimization, Hindawi, vol. 2017, pages 1-13, February.
  52. Duc Manh Nguyen & Hoai An Le Thi & Tao Pham Dinh, 2014. "Solving the Multidimensional Assignment Problem by a Cross-Entropy method," Journal of Combinatorial Optimization, Springer, vol. 27(4), pages 808-823, May.
  53. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhuang, Xin-Tian, 2018. "Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine," Chaos, Solitons & Fractals, Elsevier, vol. 114(C), pages 193-201.
  54. Fahimnia, Behnam & Sarkis, Joseph & Choudhary, Alok & Eshragh, Ali, 2015. "Tactical supply chain planning under a carbon tax policy scheme: A case study," International Journal of Production Economics, Elsevier, vol. 164(C), pages 206-215.
  55. Roy, Atin & Chakraborty, Subrata, 2023. "Support vector machine in structural reliability analysis: A review," Reliability Engineering and System Safety, Elsevier, vol. 233(C).
  56. Ali Eshragh & Jerzy Filar & Michael Haythorpe, 2011. "A hybrid simulation-optimization algorithm for the Hamiltonian cycle problem," Annals of Operations Research, Springer, vol. 189(1), pages 103-125, September.
  57. Patelli, Edoardo & Feng, Geng & Coolen, Frank P.A. & Coolen-Maturi, Tahani, 2017. "Simulation methods for system reliability using the survival signature," Reliability Engineering and System Safety, Elsevier, vol. 167(C), pages 327-337.
  58. Jasmit Shah & Somnath Datta & Susmita Datta, 2014. "A multi-loss super regression learner (MSRL) with application to survival prediction using proteomics," Computational Statistics, Springer, vol. 29(6), pages 1749-1767, December.
  59. J Morio & R Pastel, 2012. "Plug-in estimation of d-dimensional density minimum volume set of a rare event in a complex system," Journal of Risk and Reliability, , vol. 226(3), pages 337-345, June.
  60. Shi Yang & Shi Weiping & Wang Mengqiao & Lee Ji-Hyun & Kang Huining & Jiang Hui, 2023. "Accurate and fast small p-value estimation for permutation tests in high-throughput genomic data analysis with the cross-entropy method," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 22(1), pages 1-22, January.
  61. Morio, Jérôme, 2011. "Non-parametric adaptive importance sampling for the probability estimation of a launcher impact position," Reliability Engineering and System Safety, Elsevier, vol. 96(1), pages 178-183.
  62. Saranya, K. & Prasanna, P. Krishna, 2018. "Estimating stochastic volatility with jumps and asymmetry in Asian markets," Finance Research Letters, Elsevier, vol. 25(C), pages 145-153.
  63. Charles Audet & Jean Bigeon & Romain Couderc, 2021. "Combining Cross-Entropy and MADS Methods for Inequality Constrained Global Optimization," SN Operations Research Forum, Springer, vol. 2(3), pages 1-26, September.
  64. Balesdent, Mathieu & Morio, Jérôme & Marzat, Julien, 2015. "Recommendations for the tuning of rare event probability estimators," Reliability Engineering and System Safety, Elsevier, vol. 133(C), pages 68-78.
  65. Hao Su & Qun Niu & Zhile Yang, 2023. "Optimal Power Flow Using Improved Cross-Entropy Method," Energies, MDPI, vol. 16(14), pages 1-33, July.
  66. Dirk P. Kroese & Sergey Porotsky & Reuven Y. Rubinstein, 2006. "The Cross-Entropy Method for Continuous Multi-Extremal Optimization," Methodology and Computing in Applied Probability, Springer, vol. 8(3), pages 383-407, September.
  67. Caballero, Rafael & Hernández-Díaz, Alfredo G. & Laguna, Manuel & Molina, Julián, 2015. "Cross entropy for multiobjective combinatorial optimization problems with linear relaxations," European Journal of Operational Research, Elsevier, vol. 243(2), pages 362-368.
  68. Ad Ridder, 2004. "Importance Sampling Simulations of Markovian Reliability Systems using Cross Entropy," Tinbergen Institute Discussion Papers 04-018/4, Tinbergen Institute.
  69. Marco Bee & Giuseppe Espa & Diego Giuliani & Flavio Santi, 2015. "A Cross-Entropy approach to the estimation of Generalised Linear Multilevel Models," DEM Working Papers 2015/04, Department of Economics and Management.
  70. Mário Correia Fernandes & José Carlos Dias & João Pedro Vidal Nunes, 2024. "Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 343-383, March.
  71. Reuven Rubinstein, 2008. "Semi-Iterative Minimum Cross-Entropy Algorithms for Rare-Events, Counting, Combinatorial and Integer Programming," Methodology and Computing in Applied Probability, Springer, vol. 10(2), pages 121-178, June.
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