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2014 Journal Article A critical exponent for shortest-path scaling in continuum percolationBrereton, Tim, Hirsch, Christian, Schmidt, Volker and Kroese, Dirk (2014). A critical exponent for shortest-path scaling in continuum percolation. Journal of Physics A: Mathematical and Theoretical, 47 (50) 505003, 1-12. doi: 10.1088/1751-8113/47/50/505003 |
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2014 Journal Article Inverting Laguerre tessellationsDuan, Qibin, Kroese, Dirk P., Brereton, Tim, Spettl, Aaron and Schmidt, Volker (2014). Inverting Laguerre tessellations. The Computer Journal, 57 (9), 1431-1440. doi: 10.1093/comjnl/bxu029 |
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2014 Journal Article Automated state-dependent importance sampling for Markov jump processes via sampling from the zero-variance distributionGrace, Adam W., Kroese, Dirk P. and Sandmann, Werner (2014). Automated state-dependent importance sampling for Markov jump processes via sampling from the zero-variance distribution. Journal of Applied Probability, 51 (3), 741-755. doi: 10.1239/jap/1409932671 |
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2014 Journal Article Why the Monte Carlo method is so important todayKroese, Dirk P., Brereton, Tim, Taimre, Thomas and Botev, Zdravko I. (2014). Why the Monte Carlo method is so important today. Wiley Interdisciplinary Reviews: Computational Statistics, 6 (6), 386-392. doi: 10.1002/wics.1314 |
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2014 Journal Article Efficient simulation of Markov chains using segmentationBrereton, Tim, Stenzel, Ole, Baumeier, Bjorn, Andrienko, Denis, Schmidt, Volker and Kroese, Dirk (2014). Efficient simulation of Markov chains using segmentation. Methodology and Computing in Applied Probability, 16 (2), 465-484. doi: 10.1007/s11009-013-9327-x |
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2014 Book Statistical Modeling and ComputationKroese, Dirk P. and Chan, Joshua C. C. (2014). Statistical Modeling and Computation. New York, NY, United States: Springer New York. doi: 10.1007/978-1-4614-8775-3 |
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2014 Journal Article A general framework for consistent estimation of charge transport properties via random walks in random environmentsStenzel, Ole, Hirsch, Christian, Brereton, Tim, Baumeier, Bjoern, Andrienko, Denis, Kroese, Dirk and Schmidt, Volker (2014). A general framework for consistent estimation of charge transport properties via random walks in random environments. Multiscale Modeling and Simulation, 12 (3), 1108-1134. doi: 10.1137/130942504 |
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2013 Journal Article Graph-based simulated annealing: a hybrid approach to stochastic modeling of complex microstructuresStenzel, O., Westhoff, D., Manke, I., Kasper, M., Kroese, D. P. and Schmidt, V. (2013). Graph-based simulated annealing: a hybrid approach to stochastic modeling of complex microstructures. Modelling and Simulation in Materials Science and Engineering, 21 (5) 055004, 055004.1-055004.18. doi: 10.1088/0965-0393/21/5/055004 |
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2013 Book Chapter The cross-entropy method for estimationKroese, Dirk P., Rubinstein, Reuven Y. and Glynn, Peter W. (2013). The cross-entropy method for estimation. Machine learning: theory and applications. (pp. 19-34) edited by Venu Govindaraju and C. R. Rao. Dordrecht, Netherlands: Elsevier. doi: 10.1016/B978-0-444-53859-8.00002-3 |
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2013 Book Chapter Cross-entropy methodKroese, Dirk P., Rubinstein, Reuven Y., Cohen, Izack, Porotsky, Sergey and Taimre, Thomas (2013). Cross-entropy method. Encyclopedia of operations research and management science. (pp. 326-333) edited by Saul I. Gass and Michael C. Fu. New York, United States: Springer. doi: 10.1007/978-1-4419-1153-7_131 |
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2013 Book Chapter The cross-entropy method for optimizationBotev, Zdravko, I., Kroese, Dirk P., Rubinstein, Reuven Y. and L'Ecuyer, Pierre (2013). The cross-entropy method for optimization. Machine learning: theory and applications. (pp. 35-59) edited by Venu Govindaraju and C. R. Rao. Dordrecht, Netherlands: Elsevier. doi: 10.1016/B978-0-444-53859-8.00003-5 |
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2013 Book Chapter Monte Carlo methods for portfolio credit riskBrereton, Tim J., Kroese, Dirk P. and Chan, Joshua C. (2013). Monte Carlo methods for portfolio credit risk. Credit securitisations and derivatives: challenges for the global markets. (pp. 127-152) edited by Daniel Rösch and Harald Scheule. Chicester, United Kingdom: John Wiley & Sons. doi: 10.1002/9781118818503.ch7 |
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2012 Journal Article Efficient Monte Carlo simulation via the generalized splitting methodBotev, Zdravko I. and Kroese, Dirk P. (2012). Efficient Monte Carlo simulation via the generalized splitting method. Statistics and Computing, 22 (1), 171-16. doi: 10.1007/s11222-010-9201-4 |
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2012 Journal Article Monte Carlo methodsKroese, Dirk P. and Rubinstein, Reuven Y. (2012). Monte Carlo methods. Wiley Interdisciplinary Reviews: Computational Statistics, 4 (1), 48-58. doi: 10.1002/wics.194 |
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2012 Conference Publication Efficient simulation of charge transport in deep-trap mediaBrereton, Tim J., Kroese, Dirk P., Stenzel, Ole, Schmidt, Volker and Baumeier, Bjorn (2012). Efficient simulation of charge transport in deep-trap media. Winter Simulation Conference, Berlin, Germany, 9-12 December 2012. Piscataway, NJ, United States: Institute of Electrical and Electronics Engineers. doi: 10.1109/WSC.2012.6465003 |
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2012 Journal Article Improved cross-entropy method for estimationChan, Joshua C.C. and Kroese, Dirk P. (2012). Improved cross-entropy method for estimation. Statistics and Computing, 22 (5), 1031-1040. doi: 10.1007/s11222-011-9275-7 |
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2011 Journal Article Rare-event probability estimation with conditional Monte CarloChan, Joshua C. C. and Kroese, Dirk P. (2011). Rare-event probability estimation with conditional Monte Carlo. Annals of Operations Research, 189 (1), 43-61. doi: 10.1007/s10479-009-0539-y |
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2011 Journal Article PrefaceKroese, Dirk, Shimkin, Namhum, Kreimer, Joseph and Juneja, Sandeep (2011). Preface. Annals of Operations Research, 189 (1), 1-3. doi: 10.1007/s10479-010-0745-7 |
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2011 Journal Article Stability and performance of greedy server systems: A review and open problemsRojas-Nandayapa, Leonardo, Foss, Sergey and Kroese, Dirk P. (2011). Stability and performance of greedy server systems: A review and open problems. Queueing Systems: Theory and Applications, 68 (3-4), 221-227. doi: 10.1007/s11134-011-9235-0 |
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2011 Journal Article The generalized cross entropy method, with applications to probability density estimationBotev, Zdravko I. and Kroese, Dirk P. (2011). The generalized cross entropy method, with applications to probability density estimation. Methodology and Computing in Applied Probability, 13 (1), 1-27. doi: 10.1007/s11009-009-9133-7 |
