Professor Dirk Kroese
Priestley Building (67), Room 660
Personal Page
Professor Dirk Kroese's personal page
Teaching and learning
Professor Kroese teaches a range of undergraduate and graduate courses in Probability and Mathematical Statistics.
Researcher biography
Dirk Kroese's research interests are in: Monte Carlo methods, rare-event simulation, the cross-entropy method, applied probability, and randomised optimisation.
Dirk Kroese is a professor of Mathematics and Statistics at the School of Mathematics and Physics of the University of Queensland. He has held teaching and research positions at The University of Texas at Austin, Princeton University, the University of Twente, the University of Melbourne, and the University of Adelaide. His research interests include Monte Carlo methods, adaptive importance sampling, randomized optimization, and rare-event simulation. He has over 120 peer-reviewed publications, including six monographs:
- Rubinstein, R.Y., Kroese, D.P. (2004). The Cross-Entropy Method: A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation, and Machine Learning, Springer, New York.
- Rubinstein, R. Y. , Kroese, D. P. (2007). Simulation and the Monte Carlo Method, 2nd edition, John Wiley & Sons.
- Kroese, D.P., Taimre, T., and Botev, Z.I. (2011). Handbook of Monte Carlo Methods, Wiley Series in Probability and Statistics, John Wiley & Sons, New York.
- Kroese, D.P. and Chan, J.C.C. (2014). Statistical Modeling and Computation, Springer, New York.
- Rubinstein, R. Y. , Kroese, D. P. (2017). Simulation and the Monte Carlo Method, 3rd edition, John Wiley & Sons.
- Kroese, D.P., Botev, Z.I., Taimre, T and Vaisman, R. (2019) Data Science and Machine Learning: Mathematical and Statistical Methods, Chapman & Hill/CRC.
- Kroese, D.P. and Botev, Z.I. (2023). An Advanced Course in Probability and Stochastic Processes, Chapman & Hill/CRC.
Publications
Books
Kroese, Dirk P. and Botev, Zdravko I. (2023). An advanced course in probability and stochastic processes. New York, NY United States: Chapman and Hall. doi: 10.1201/9781003315018
Kroese, Dirk P., Botev, Zdravko I., Taimre, Thomas and Vaisman, Radislav (2019). Data science and machine learning: Mathematical and statistical methods. Boca Raton, FL, United States: CRC Press. doi: 10.1201/9780367816971
Rubinstein, Reuven Y. and Kroese, Dirk P. (2017). Simulation and the Monte Carlo method. 3rd ed. Hoboken, NJ, United States: John Wiley and Sons. doi: 10.1002/9781118631980
Kroese, 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
Kroese, Dirk P., Taimre, Thomas and Botev, Zdravko I. (2011). Handbook of Monte Carlo Methods. Hoboken, NJ, U.S.A.: John Wiley & Sons. doi: 10.1002/9781118014967
Rubinstein, Reuven Y. and Kroese, Dirk P. (2008). Simulation and the Monte Carlo Method. 2nd ed. New York, United States: John Wiley & Sons. doi: 10.1002/9780470230381
Kroese, Dirk P., Taimre, Thomas, Botev, Zdravko I. and Rubinstein, Reuven Y. (2007). Solutions manual to accompany simulation and the Monte Carlo Method. 2nd ed. Hoboken, N.J., U.S.A.: Wiley-Interscience.
Kroese, Dirk P., Taimre, Thomas, Botev, Zdravko I. and Rubinstein, Rueven Y. (2007). Simulation and the Monte Carlo Method: Solutions Manual to Accompany. Hoboken, NJ, United States: John Wiley & Sons. doi: 10.1002/9780470285312
Rubinstein, R.Y. and Kroese, D. P. (2004). The Cross-Entropy Method: A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning. New York: Springer. doi: 10.1007/978-1-4757-4321-0
Book Chapters
Gibson, Lachlan J. and Kroese, Dirk P. (2022). Rare-event simulation via neural networks. Advances in Modeling and Simulation. (pp. 151-168) edited by Botev, Zdravko, Lemieux, Christiane, Keller, Alexander and Tuffin, Bruno. Cham, Switzerland: Springer International Publishing. doi: 10.1007/978-3-031-10193-9_8
Taimre, Thomas , Kroese, Dirk P. and Botev, Zdravko I. (2019). Monte Carlo Methods. Wiley StatsRef: Statistics Reference Online. (pp. 1-10) edited by N. Balakrishnan, T. Colton, B. Everitt, W. Piegorsch, F. Ruggeri and J. L. Teugels. Hoboken, NJ United States: Wiley-Blackwell. doi: 10.1002/9781118445112.stat03619.pub2
Brereton, 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
Botev, 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
Kroese, 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
Kroese, 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
Kroese, Dirk P. (2010). Cross-entropy method. Encyclopedia of operations research and management sciences. (pp. 1-12) New York, United States: Springer-Verlag. doi: 10.1002/9780470400531.eorms0210
Kroese, D. P. and Hui, Kin-Ping (2007). Applications of the cross-entropy method in reliability. Computational intelligence in reliability engineering. New metaheuristics, neural and fuzzy techniques in reliability. (pp. 37-82) edited by Gregory Levitin. Berlin, Germany: Springer-Verlag. doi: 10.1007/978-3-540-37372-8_3
Journal Articles
Salomone, Robert, South, Leah F, Drovandi, Christopher, Kroese, Dirk P and Johansen, Adam M (2025). Unbiased and consistent nested sampling via sequential Monte Carlo. Journal of the Royal Statistical Society Series B: Statistical Methodology. doi: 10.1093/jrsssb/qkaf015
Hoerger, Marcus, Kurniawati, Hanna, Kroese, Dirk and Ye, Nan (2024). Adaptive discretization using Voronoi trees for continuous pOMDPs. The International Journal of Robotics Research, 43 (9), 1283-1298. doi: 10.1177/02783649231188984
Moradi, Arash, Farajizadeh, Farzad, Zare, Firuz, Kumar, Dinesh, Rathnayake, Hansika, Sharma, Rahul and Kroese, Dirk (2023). Detailed estimation of grid-side current and its oscillations caused by adjustable speed drive systems. IEEE Transactions on Industrial Electronics, PP (99), 1-10. doi: 10.1109/tie.2022.3206695
Ju, Jun, Kurniawati, Hanna, Kroese, Dirk and Ye, Nan (2023). Model‐based offline reinforcement learning for sustainable fishery management. Expert Systems, 42 (1) e13324. doi: 10.1111/exsy.13324
Moradi, Arash, Zare, Firuz, Kumar, Dinesh, Yaghoobi, Jalil, Sharma, Rahul and Kroese, Dirk (2022). Current harmonics generated by multiple adjustable speed drives in distribution networks in the frequency range of 2-9 kHz. IEEE Transactions on Industry Applications, 58 (4), 1-1. doi: 10.1109/tia.2022.3172024
Kroese, Dirk P. and Gibson, Lachlan J. (2022). Simulating rare events in queues via neural networks. Queueing Systems, 100 (3-4), 537-539. doi: 10.1007/s11134-022-09751-0
Hirsch, Christian, Moka, Sarat B., Taimre, Thomas and Kroese, Dirk P. (2021). Rare events in random geometric graphs. Methodology and Computing in Applied Probability, 24 (3), 1367-1383. doi: 10.1007/s11009-021-09857-7
Moka, Sarat B. and Kroese, Dirk P. (2020). Perfect sampling for Gibbs point processes using partial rejection sampling. Bernoulli, 26 (3), 2082-2104. doi: 10.3150/19-BEJ1184
Shukla, Ankit, Nguyen, Thu H. M., Moka, Sarat B., Ellis, Jonathan J., Grady, John P., Oey, Harald, Cristino, Alexandre S., Khanna, Kum Kum, Kroese, Dirk P., Krause, Lutz, Dray, Eloise, Fink, J. Lynn and Duijf, Pascal H. G. (2020). Chromosome arm aneuploidies shape tumour evolution and drug response. Nature Communications, 11 (1) 449, 449. doi: 10.1038/s41467-020-14286-0
Vaisman, Radislav and Kroese, Dirk P. (2018). On the analysis of independent sets via multilevel splitting. Networks, 71 (3), 281-301. doi: 10.1002/net.21805
Duan, Qibin and Kroese, Dirk P. (2017). Splitting for Multi-objective Optimization. Methodology and Computing in Applied Probability, 20 (2), 517-533. doi: 10.1007/s11009-017-9572-5
Shah, Rohan and Kroese, Dirk P. (2017). Without-replacement sampling for particle methods on finite state spaces. Statistics and Computing, 28 (3), 1-20. doi: 10.1007/s11222-017-9752-8
Vaisman, Radislav, Roughan, Matthew and Kroese, Dirk P. (2017). The Multilevel Splitting algorithm for graph colouring with application to the Potts model. Philosophical Magazine, 97 (19), 1646-1673. doi: 10.1080/14786435.2017.1312023
Benham, Tim, Duan, Qibin, Kroese, Dirk P. and Liquet, Benoît (2017). CEoptim: cross-entropy R package for optimization. Journal of Statistical Software, 76 (1), 1-29. doi: 10.18637/jss.v076.i08
Vaisman, Radislav, Kroese, Dirk P. and Gertsbakh, Ilya B. (2016). Splitting sequential Monte Carlo for efficient unreliability estimation of highly reliable networks. Structural Safety, 63, 1-10. doi: 10.1016/j.strusafe.2016.07.001
Duan, Qibin and Kroese, Dirk P. (2016). Splitting for optimization. Computers and Operations Research, 73, 119-131. doi: 10.1016/j.cor.2016.04.015
Vaisman, Radislav, Kroese, Dirk P. and Gertsbakh, Ilya B. (2016). Improved sampling plans for combinatorial invariants of coherent systems. IEEE Transactions on Reliability, 65 (1) 7161416, 410-424. doi: 10.1109/TR.2015.2446471
Scheinhardt, Werner R. W. and Kroese, Dirk P. (2016). A comparison of random walks in dependent random environments. Advances in Applied Probability, 48 (1), 199-214. doi: 10.1017/apr.2015.13
Spettl, A., Brereton, T., Duan, Q., Werz, T., Krill, C. E., Kroese, D. P. and Schmidt, V. (2016). Fitting Laguerre tessellation approximations to tomographic image data. Philosophical Magazine, 96 (2), 166-189. doi: 10.1080/14786435.2015.1125540
Vaisman, Radislav and Kroese, Dirk P (2015). Stochastic Enumeration Method for Counting Trees. Methodology and Computing in Applied Probability, 19 (1), 31-73. doi: 10.1007/s11009-015-9457-4
Westhoff, D., Van Franeker, J. J., Brereton, T., Kroese, D. P., Janssen, R. A. J. and Schmidt, V. (2015). Stochastic modeling and predictive simulations for the microstructure of organic semiconductor films processed with different spin coating velocities. Modelling and Simulation in Materials Science and Engineering, 23 (4) 045003, 1-21. doi: 10.1088/0965-0393/23/4/045003
Kroese, Dirk P and Botev, Zdravko I (2015). Spatial process simulation. Lecture Notes in Mathematics, 2120, 369-404. doi: 10.1007/978-3-319-10064-7_12
Brereton, 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
Duan, 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
Grace, 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
Kroese, 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
Brereton, 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
Stenzel, 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
Stenzel, 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
Kroese, Dirk P. and Rubinstein, Reuven Y. (2012). Monte Carlo methods. Wiley Interdisciplinary Reviews: Computational Statistics, 4 (1), 48-58. doi: 10.1002/wics.194
Chan, 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
Botev, 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
Chan, 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
Kroese, 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
Rojas-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
Botev, 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
Chan, Joshua. C., Glynn, Peter W. and Kroese, Dirk P. (2011). A comparison of cross-entropy and variance minimization strategies. Journal of Applied Probability, 48 A (A), 1-15. doi: 10.1239/jap/1318940464
Evans, G. E., Sofronov, G. Y., Keith, J. M. and Kroese, D. P. (2011). Estimating change-points in biological sequences via the cross-entropy method. Annals of Operations Research, 189 (1), 155-165. doi: 10.1007/s10479-010-0687-0
Botev, Z. I., Grotowski, J. F. and Kroese, D. P. (2010). Kernel density estimation via diffusion. Annals of Statistics, 38 (5), 2916-2957. doi: 10.1214/10-AOS799
Chan, Joshua C. C. and Kroese, Dirk P. (2010). Efficient estimation of large portfolio loss probabilities in t-copula models. European Journal of Operational Research, 205 (2), 361-367. doi: 10.1016/j.ejor.2010.01.003
Sofronov, George Yu., Evans, Gareth E., Keith, Jonathan M. and Kroese, Dirk P (2009). Identifying Change-Points in Biological Sequences via Sequential Importance Sampling. Environmental Modeling & Assessment, 14 (5), 577-584. doi: 10.1007/s10666-008-9160-8
Botev, Z. I. and Kroese, D. P. (2008). Non-asymptotic bandwidth selection for density estimation of discrete data. Methodology And Computing In Applied Probability, 10 (3), 435-451. doi: 10.1007/s11009-007-9057-z
Botev, Z. I. and Kroese, D. P. (2008). An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting. Methodology And Computing In Applied Probability, 10 (4), 471-505. doi: 10.1007/s11009-008-9073-7
Keith, J. M., Kroese, D. P. and Sofronov, G. Y. (2008). Adaptive independence samplers. Statistics and Computing, 18 (4), 409-420. doi: 10.1007/s11222-008-9070-2
Belay, A., O'Brien, E. and Kroese, D. P. (2008). Truck fleet model for design and assessment of flexible pavements. Journal of Sound and Vibration, 311 (3-5), 1161-1174. doi: 10.1016/j.jsv.2007.10.019
Sani, A. and Kroese, D. P. (2008). Controlling the number of HIV infectives in a mobile population. Mathematical Biosciences, 213 (2), 103-112. doi: 10.1016/j.mbs.2008.03.003
Kroese, Dirk P. and Hui, Kin-Ping (2007). Applications of the cross-entropy method in reliability. Studies in Computational Intelligence, 40, 37-82. doi: 10.1007/978-3-540-37372-8_3
Roberts, B. and Kroese, D. P. (2007). Estimating the number of s-t paths in a graph. Journal of Graph Algorithms and Applications, 11 (1), 195-214. doi: 10.7155/jgaa.00142
Botev, Z. I., Kroese, D. P. and Taimre, T. (2007). Generalized cross-entropy methods with applications to rare-event simulation and optimization. Simulation, 83 (11), 785-806. doi: 10.1177/0037549707087067
Kroese, D. P., Hui, K. P. and Nariai, S. (2007). Network reliability optimization via the cross-entropy method. IEEE Transactions on Reliability, 56 (2), 275-287. doi: 10.1109/TR.2007.895303
Sani, A., Kroese, D. P. and Pollett, P. K. (2007). Stochastic models for the spread of HIV in a mobile heterosexual population. Mathematical Biosciences, 208 (1), 98-124. doi: 10.1016/j.mbs.2006.09.024
Costa, A., Jones, O. D. and Kroese, D. P. (2007). Convergence properties of the cross-entropy method for discrete optimization. Operations Research Letters, 35 (5), 573-580. doi: 10.1016/j.orl.2006.11.005
Kroese, Dirk P., Rubinstein, Reuven Y. and Taimre, Thomas (2007). Application of the cross-entropy method to clustering and vector quantization. Journal of Global Optimization, 37 (1), 137-157. doi: 10.1007/s10898-006-9041-0
Kroese, Dirk P., Porotsky, Sergey and Rubinstein, Reuven Y. (2006). The cross-entropy method for continuous multi-extremal optimization. Methodology and Computing In Applied Probability, 8 (3), 383-407. doi: 10.1007/s11009-006-9753-0
Asmussen, Søren and Kroese, Dirk P. (2006). Improved algorithms for rare event simulation with heavy tails. Advances In Applied Probability, 38 (2), 545-558. doi: 10.1239/aap/1151337084
Sofronov, G, Keith, JM and Kroese, DP (2006). An optimal sequential procedure for a buying-selling problem with independent observations. Journal of Applied Probability, 43 (2), 454-462. doi: 10.1239/jap/1152413734
Kroese, D. P. (2005). Review of Kernel Methods for Pattern Analysis. Siam Review, 47 (2), 385-387. doi: 10.1137/SIREAD000047000002000367000001
Alon, G., Kroese, D. P., Raviv, T. and Rubinstein, R. Y. (2005). Application of the cross-entropy method to the buffer allocation problem in a simulation-based environment. Annals of Operations Research, 134 (1), 137-151. doi: 10.1007/s10479-005-5728-8
Hui, K. P., Bean, N., Kraetzl, M. and Kroese, D. P. (2005). The cross-entropy method for network reliability estimation. Annals of Operations Research, 134 (1), 101-118. doi: 10.1007/s10479-005-5726-x
Asmussen, S., Kroese, D. P. and Rubinstein, R. Y. (2005). Heavy tails, importance sampling and cross-entropy. Stochastic Models, 21 (1), 57-76. doi: 10.1081/STM-200046472
De Boer, Pieter-Tjerk, Kroese, Dirk P., Mannor, Shie and Rubinstein, Reuven Y. (2005). A tutorial on the cross-entropy method. Annals of Operations Research, 134 (1), 19-67. doi: 10.1007/s10479-005-5724-z
Kroese, Dirk P. and Rubinstein, Reuvem Y. (2005). Preface : From the issue entitled "The Cross-Entropy Method for Combinatorial Optimization, Rare Event Simulation and Neural Computation". Annals of Operations Research, 134 (1), 17-18. doi: 10.1007/s10479-005-5723-0
Keith, , Kroese, and Bryant, (2004). Erratum: A generalised Markov sampler (Methodology and Computing in Applied Probability 6:1 (29-53)). Methodology and Computing in Applied Probability, 6 (3). doi: 10.1023/B:MCAP.0000026605.65154.56
De Boer, P. T., Kroese, D. P. and Rubinstein, R. Y. (2004). A fast cross-entropy method for estimating buffer overflows in queuing networks. Management Science, 50 (7), 883-895. doi: 10.1287/mnsc.1030.0139
Keith, Jonathan M., Kroese, Dirk P. and Bryant, Darryn (2004). A generalized Markov sampler. Methodology And Computing In Applied Probability, 6 (1), 29-53. doi: 10.1023/B:MCAP.0000012414.14405.15
Kroese, D. P., Scheinhardt, W. R. W. and Taylor, P. J. (2004). Spectral properties of the tandem Jackson network, seen as a quasi-birth-and-death process. Annals of Applied Probability, 14 (4), 2057-2089. doi: 10.1214/105051604000000477
Hui, KP, Bean, N, Kraetzl, M and Kroese, D (2003). The tree cut and merge algorithm for estimation of network reliability. Probability In The Engineering And Informational Sciences, 17 (1), 23-45. doi: 10.1017/S0269964803171021
Garvels, Marnix J. J., van Ommeren, Jan- Kees C. W. and Kroese, Dirk P. (2002). On the importance function in splitting simulation. European Transactions on Telecommunications, 13 (4), 363-371. doi: 10.1002/ett.4460130408
Kroese, D. P. and Nicola, V. F. (2002). Efficient simulation of a Tandem Jackson Network. ACM Transactions on Modeling and Computer Simulation, 12 (2), 119-141. doi: 10.1145/566392.566395
Keith, Jonathan M., Adams, Peter, Bryant, Darryn, Kroese, Dirk P., Mitchelson, Keith R., Cochran, Duncan A. E. and Lala, Gita H. (2002). A simulated annealing algorithm for finding consensus sequences. Bioinformatics, 18 (11), 1494-1499. doi: 10.1093/bioinformatics/18.11.1494
Kroese, D. P. and Scheinhardt, W. R. W. (2001). Joint distributions for interacting fluid queues. Queueing Systems, 37 (1-3), 99-139. doi: 10.1023/A:1011044217695
Kroese, D. P. (2000). On the decay rates of buffers in continuous flow lines. Methodology and Computing in Applied Probability, 2 (4), 425-441. doi: 10.1023/A:1010066319278
Kroese, Dirk P. and Nicola, Victor F. (1999). Efficient estimation of overflow probabilities in queues with breakdowns. Performance Evaluation, 36-37, 471-484. doi: 10.1016/S0166-5316(99)00036-X
Kroese, Dirk P. and Nicola, Victor F. (1998). Efficient Simulation of Backlogs in Fluid Flow Lines. AEU-Archiv fur Elektronik und Ubertragungstechnik, 52 (3), 165-171.
Kroese, DP (1997). Heavy traffic analysis for continuous polling models. Journal of Applied Probability, 34 (3), 720-732. doi: 10.2307/3215097
Kroese, DP and Schmidt, V (1996). Light-traffic analysis for queues with spatially distributed arrivals. Mathematics of Operations Research, 21 (1), 135-157. doi: 10.1287/moor.21.1.135
Kroese, DP and Schmidt, V (1994). Single-Server Queues with Spatially Distributed Arrivals. Queueing Systems, 17 (1-2), 317-345. doi: 10.1007/BF01158698
Kroese, Dirk and Schmidt, Volker (1993). Queueing systems on a circle. Zeitschrift fuer Operations Research, 37 (3), 303-331. doi: 10.1007/BF01415999
Kroese, D. P. (1992). The difference of two renewal processes: level crossing and the infimum. Stochastic Models, 8 (2), 221-243. doi: 10.1080/15326349208807222
Kroese, Dirk P. and Schmidt, Volker (1992). A continuous polling system with general service times. Annals of Applied Probability, 2 (4), 906-927.
Kroese, D. P. and Kallenberg, W. C.M. (1992). Second-order asymptotics in level crossing for differences of renewal processes. Stochastic Processes and their Applications, 40 (2), 309-323. doi: 10.1016/0304-4149(92)90016-J
Kroese, DP and Kallenberg, Wcm (1989). Approximations to the Lifetime Distribution of K-Out-of-N Systems with Cold Standby. Mathematics of Operations Research, 14 (3), 485-501. doi: 10.1287/moor.14.3.485
Conference Papers
Hoerger, Marcus, Kurniawati, Hanna, Kroese, Dirk and Ye, Nan (2024). A surprisingly simple continuous-action POMDP solver: lazy cross-entropy search over policy trees. 38th AAAI Conference on Artificial Intelligence (AAAI) / 36th Conference on Innovative Applications of Artificial Intelligence / 14th Symposium on Educational Advances in Artificial Intelligence, Vancouver, Canada, 20-27 February 2024. Palo Alto, CA, United States: Association for the Advancement of Artificial Intelligence. doi: 10.1609/aaai.v38i18.29992
Hoerger, Marcus, Kurniawati, Hanna, Kroese, Dirk and Ye, Nan (2022). Adaptive Discretization Using Voronoi Trees for Continuous-Action POMDPs. Fifteenth Workshop on the Algorithmic Foundations of Robotics WAFR 2022, College Park, MD United States, 22-24 June 2022. Cham, Switzerland: Springer. doi: 10.1007/978-3-031-21090-7_11
van der Heide, Chris, Hodgkinson, Liam, Roosta, Fred and Kroese, Dirk (2021). Shadow Manifold Hamiltonian Monte Carlo. International Conference on Artificial Intelligence and Statistics, Online, 27-30- July 2021. Tempe, AZ United States: ML Research Press.
Moradi, Arash, Yaghoobi, Jalil, Zare, Firuz, Kumar, Dinesh, Sharma, Rahul and Kroese, Dirk (2021). Current harmonics generated by multi-power converters in distribution networks in the frequency range of 2-9 kHz. IEEE 19th International Power Electronics and Motion Control Conference (PEMC), Gliwice, Poland, 25-29 April 2021. Piscataway, NJ, United States: Institute of Electrical and Electronics Engineers. doi: 10.1109/PEMC48073.2021.9432621
Ju, Jun, Kurniawati, Hanna, Kroese, Dirk and Ye, Nan (2021). MOOR: Model-based offline reinforcement learning for sustainable fishery management. 24th International Congress on Modelling and Simulation, Sydney, NSW, Australia, 5 - 10 December 2021. Sydney, NSW, Australia: International Congress on Modelling and Simulation. doi: 10.36334/modsim.2021.M2.ju
Botev, Zdravko, Chen, Yi-Lung, L'Ecuyer, Pierre, MacNamara, Shev and Kroese, Dirk P. (2019). Exact posterior simulation from the linear lasso regression. 2018 Winter Simulation Conference, WSC 2018, Gothenburg, Sweden, 9-12 December 2018. Piscataway, NJ, United States: Institute of Electrical and Electronics Engineers. doi: 10.1109/WSC.2018.8632237
Moka, Sarat Babu, Kroese, Dirk P. and Juneja, Sandeep (2019). Unbiased estimation of the reciprocal mean for non-negative random variables. 2019 Winter Simulation Conference (WSC), National Harbor, MD, United States, 8-11 December 2019. Piscataway, NJ, United States: Institute of Electrical and Electronics Engineers. doi: 10.1109/wsc40007.2019.9004815
Wang, Erli, Kurniawati, Hanna and Kroese, Dirk P. (2019). Inventory control with partially observable states. 23rd International Congress on Modelling and Simulation - Supporting Evidence-Based Decision Making: The Role of Modelling and Simulation, MODSIM 2019, Canberra, ACT, Australia, 1 - 6 December 2019. Modelling and Simulation Society of Australia and New Zealand Inc. (MSSANZ). doi: 10.36334/modsim.2019.B1.wang
Wang, Erli, Kurniawati, Hanna and Kroese, Dirk P. (2018). An on-line planner for POMDPs with large discrete action space: A quantile-based approach. 28th International Conference on Automated Planning and Scheduling ICAPS 2018, Delft, Netherlands, 24 - 29 June 2018. Menlo Park, CA United States: AAAI Press. doi: 10.1609/icaps.v28i1.13906
L'Ecuyer, Pierre, Botev, Zdravko I. and Kroese, Dirk P. (2018). On a generalized splitting method for sampling from a conditional distribution. 2018 Winter Simulation Conference, WSC 2018, Gothenburg, Sweden, 9-12 December 2018. Piscataway, NJ, United States: Institute of Electrical and Electronics Engineers. doi: 10.1109/WSC.2018.8632422
Wang, Erli, Kurniawati, Hanna and Kroese, Dirk P. (2017). CEMAB: a cross-entropy-based method for large-scale multi-armed bandits. ACALCI 2017 Australasian Conference on Artificial Life and Computational Intelligence, Geelong, VIC, Australia, 31 January – 2 February 2017. Heidelberg, Germany: Springer. doi: 10.1007/978-3-319-51691-2_30
Grant, Morgan R. and Kroese, Dirk P. (2017). Efficient estimation of tail probabilities of the typical distance in preferential attachment models. 2016 Winter Simulation Conference, WSC 2016, Arlington, VA, United States, 11 - 14 December 2016. Piscataway, NJ, United States: Institute of Electrical and Electronics Engineers. doi: 10.1109/WSC.2016.7822101
Salomone, Robert, Vaisman, Radislav and Kroese, Dirk (2016). Estimating the number of vertices in convex polytopes. 4th Annual International Conference on Operations Research and Statistics (ORS 2016), 5th Annual Conference on Computational Mathematics, Computational Geometry & Statistics (CMCGS 2016), Singapore, Singapore, 18 - 19 January 2016. Singapore, Singapore: Global Science and Technology Forum. doi: 10.5176/2251-1938_ORS16.25
Shah, Rohan, Hirsch, Christian, Kroese, Dirk P. and Schmidt, Volker (2015). Rare event probability estimation for connectivity of large random graphs. Winter Simulation Conference, WSC 2014, Savannah, GA, United States, 7-10 December 2014. Piscataway, NJ, United States: Institute of Electrical and Electronics Engineers. doi: 10.1109/WSC.2014.7019916
Brereton, 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
Brereton, Tim J., Chan, Joshua C. C. and Kroese, Dirk P. (2011). Fitting mixture importance sampling distributions via improved cross-entropy. 2011 Winter Simulation Conference, Phoenix, AZ, United States, 11-14 December 2011. Piscataway, NJ, United States: IEEE. doi: 10.1109/WSC.2011.6147769
Stacey, Karl W. and Kroese, Dirk P. (2011). Greedy servers on a torus. 2011 Winter Simulation Conference, Phoenix, AZ, United States, 11-14 December 2011. Piscataway, NJ, United States: IEEE. doi: 10.1109/WSC.2011.6147764
Kothari, Rishabh P. and Kroese, Dirk P. (2009). Optimal generation expansion planning via the cross-entropy method. 2009 Winter Simulation Conference (ERA Rank B), Austin, Texas, 13-16 December 2009. United States: IEEE - Inst Electrical Electronics Engineers Inc. doi: 10.1109/WSC.2009.5429296
Keith, J. M., Sofronov, G. Y. and Kroese, D. P. (2008). The Generalized Gibbs Sampler and the Neighborhood Sampler. 7th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Ulm, Germany, 14-18 August, 2006. Berlin: Springer-Verlag. doi: 10.1007/978-3-540-74496-2_31
Chan, J. C. C. and Kroese, D. P. (2008). Randomized methods for solving the Winner Determination Problem in combinatorial auctions. Winter Simulation Conference 2008 (WSC 2008), Miami, United States, 7-10 December, 2008. Piscataway, NJ, U.S.A.: IEEE. doi: 10.1109/WSC.2008.4736208
Evans, G. E., Keith, J. M. and Kroese, D. P. (2007). Parallel cross-entropy optimization. 2007 Winter Simulation Conference, Washington, 9-12 December, 2007. Washington: IEEE. doi: 10.1145/1360000/1351930/p2196-evans.pdf?key1=1351930
Sani, A. and Kroese, D. P. (2007). Optimal epidemic intervention of HIV spread using the cross-entropy method. 17th Biennial Congress on Modelling and Simulation (MODSIM07), Christchurch, New Zealand, 10-13 December, 2007. Christchurch, New Zealand: Modelling and Simulation Society of Australia and New Zealand.
Sofronov, G. Y., Evans, G. E., Keith, J. M. and Kroese, D. P. (2007). Identifying change-points in biological sequences via sequential importance sampling. 17th Biennial Congress on Modelling and Simulation (MODSIM07), Christchurch, New Zealand, 10-13 December, 2007. Christchurch, New Zealand: Modelling and Simulation Society of Australia and New Zealand.
Evans, Gareth E., Keith, Jonathan M. and Kroese, Dirk P. (2007). Parallel Cross-Entropy optimization. 2007 Winter Simulation Conference, Washington Dc, Dec 09-12, 2007. NEW YORK: IEEE.
Botev, Z. I., Kroese, D. P. and Taimre, T. (2006). Generalized cross-entropy methods for rare events and optimization. 6th International Workshop on Rare Event Simulation (RESIM 2006), Bamberg, Germany, 8-10 October, 2006.
Nariai, S. and Kroese, D. P. (2005). On the Design of Multi-type Networks via the Cross-Entropy Method. DRCN 2005, Naples, Italy, 16-19 October 2005. Italy: IEEE. doi: 10.1109/DRCN.2005.1563852
Nariai, Sho, Hui, Kin-Ping and Kroese, Dirk P. (2005). Designing an optimal network using the cross-entropy method. Sixth International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2005), Brisbane, Australia, 6-8 July 2005. Heidelberg, Germany: Springer. doi: 10.1007/11508069_30
Kroese, D. P. and Rubinstein, R. Y. (2004). The transform likelihood ratio method for rare event simulation with heavy tails. United States: Springer New York LLC. doi: 10.1023/B:QUES.0000027989.97672.be
Botev, Z. I. and Kroese, D. P. (2004). Global Likelihood Optimization Via The Cross-Entropy Method With An Application To Mixture Models. 2004 Winter Simulation Conference, Washington, USA, 5-8 December, 2004. Washington: Board of Winter Simulation Conference.
Hui, K.-P., Bean, N.G., Kraetzl, M. and Kroese, D. P. (2003). Network reliability estimation using the tree cut and merge algorithm with importance sampling. DRCN2003, Banff, Canada, 19-22 October 2003. Canada: The Institute of Electrical & Electronics Engineers, Inc. doi: 10.1109/DRCN.2003.1275364
Keith, Jonathan and Kroese, Dirk P. (2002). Sequence alignment by rare event simulation. 35th 2002 Winter Simulation Conference (ERA Rank B), San Diego, CA, U.S.A., 8-11 December 2002. United States: IEEE - Computer Society. doi: 10.1109/WSC.2002.1172901
de Boer, P.T., Kroese, D. P. and Rubinstein, R.Y. (2002). Estimating buffer overflows in three stages using cross-entropy. 35th Winter Simulation Conference (ERA Rank B), San Diego, USA, 3-11 December 2002. United States: IEEE - Computer Society. doi: 10.1109/WSC.2002.1172899
Kroese, Dirk P. and Nicola, Victor F. (1999). Efficient simulation of a tandem Jackson network. 1999 Winter Simulation Conference Proceedings (WSC), , , December 5, 1999-December 8, 1999.
Garvels, Marnix J J and Kroese, Dirk P. (1998). Comparison of RESTART implementations. Proceedings of the 1998 Winter Simulation Conference, WSC. Part 1 (of 2), , , December 13, 1998-December 16, 1998. IEEE.
Garvels, M. J. J . and Kroese, D. P. (1998). A comparison of RESTART implementations. Winter Simulation Conference, Washington, DC, United States, 13-16 Dec 1998.
Kroese, DP and Nicola, VF (1998). Efficient simulation of backlogs in fluid flow lines. Workshop on Rare Event Simulation, Aachen Germany, Aug 28-29, 1997. JENA: GUSTAV FISCHER VERLAG.
Working Paper
Joshua C. C. Chan and Dirk P. Kroese (2010). Improved Cross-Entropy Method for Estimation. School of Economics, University of Queensland.