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Fitting mixture importance sampling distributions via improved cross-entropy

Brereton, Tim J.; Chan, Chi Chun (Joshua); Kroese, Dirk

Description

In some rare-event settings, exponentially twisted distributions perform very badly. One solution to this problem is to use mixture distributions. However, it is difficult to select a good mixture distribution for importance sampling. We here introduce a

CollectionsANU Research Publications
Date published: 2011
Type: Conference paper
URI: http://hdl.handle.net/1885/32829
Source: Proceedings - Winter Simulation Conference
DOI: 10.1109/WSC.2011.6147769

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