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A Comparison of Cross-Entropy and Variance Minimization Strategies

Chan, Chi Chun (Joshua); Glynn, Peter W.; Kroese, Dirk


The variance minimization (VM) and cross-entropy (CE) methods are two versatile adaptive importance sampling procedures that have been successfully applied to a wide variety of difficult rare-event estimation problems. We compare these two methods via var

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Journal of Applied Probability


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