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math.PR2010
Approximate results for a generalized secretary problem
Chris Dietz, Dinard van der Laan, Ad Ridder
A version of the classical secretary problem is studied, in which one is interested in selecting one of the b best out of a group of n differently ranked persons who are presented…
math.PR2010
Asymptotic optimality of the cross-entropy method for Markov chain problems
Ad Ridder
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 condi…