Rare event probabilities in stochastic networks
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References listed on IDEAS
- Csaba Fábián & Zoltán Szőke, 2007. "Solving two-stage stochastic programming problems with level decomposition," Computational Management Science, Springer, vol. 4(4), pages 313-353, October.
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KeywordsCross entropy; Importance sampling; Rare events; Shortest path; Exponential and beta distribution;
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