IDEAS home Printed from https://ideas.repec.org/r/eee/ejores/v99y1997i1p89-112.html
   My bibliography  Save this item

Optimization of computer simulation models with rare events

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. 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).
  3. 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.
  4. 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).
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. Agbeyegbe, Terence D., 2020. "Bayesian analysis of output gap in Barbados," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
  17. Adam Guetz & Susan Holmes, 2011. "Adaptive importance sampling for network growth models," Annals of Operations Research, Springer, vol. 189(1), pages 187-203, September.
  18. 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).
  19. 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.
  20. 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.
  21. 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.
  22. 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).
  23. Chan, Joshua C.C., 2023. "Comparing stochastic volatility specifications for large Bayesian VARs," Journal of Econometrics, Elsevier, vol. 235(2), pages 1419-1446.
  24. 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.
  25. L. Margolin, 2005. "On the Convergence of the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 201-214, February.
  26. Hu, Jiaqiao & Su, Zheng, 2008. "Bootstrap quantile estimation via importance resampling," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5136-5142, August.
  27. 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.
  28. 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.
  29. Mohammad Hassan Salmani & Kourosh Eshghi, 2017. "A Metaheuristic Algorithm Based on Chemotherapy Science: CSA," Journal of Optimization, Hindawi, vol. 2017, pages 1-13, February.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. Roy, Atin & Chakraborty, Subrata, 2023. "Support vector machine in structural reliability analysis: A review," Reliability Engineering and System Safety, Elsevier, vol. 233(C).
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. 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.
  45. 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.
  46. 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.
  47. 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).
  48. 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.
  49. 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.
  50. 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.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. Kin-Ping Hui, 2011. "Cooperative Cross-Entropy method for generating entangled networks," Annals of Operations Research, Springer, vol. 189(1), pages 205-214, September.
  56. 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.
  57. 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.
  58. 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.
  59. 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.
  60. 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.
  61. Hao Su & Qun Niu & Zhile Yang, 2023. "Optimal Power Flow Using Improved Cross-Entropy Method," Energies, MDPI, vol. 16(14), pages 1-33, July.
  62. 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.
  63. 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.
  64. 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.
  65. 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.
  66. Ad Ridder, 2004. "Importance Sampling Simulations of Markovian Reliability Systems using Cross Entropy," Tinbergen Institute Discussion Papers 04-018/4, Tinbergen Institute.
  67. 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.
  68. 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.
  69. 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.
  70. 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.
  71. Anand Deo & Karthyek Murthy & Tirtho Sarker, 2022. "Combining Retrospective Approximation with Importance Sampling for Optimising Conditional Value at Risk," Papers 2206.12835, arXiv.org.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.