Skip navigation
Skip navigation
A change is coming. Click to see a sneak peek of the new Open Research Repository.

A Comparison of Cross-Entropy and Variance Minimization Strategies

Download (167.21 kB)

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

Description

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

dc.contributor.authorChan, Chi Chun (Joshua)
dc.contributor.authorGlynn, Peter W.
dc.contributor.authorKroese, Dirk
dc.date.accessioned2015-12-08T22:37:44Z
dc.identifier.issn0021-9002
dc.identifier.urihttp://hdl.handle.net/1885/35647
dc.description.abstractThe 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
dc.publisherApplied Probability Trust
dc.sourceJournal of Applied Probability
dc.subjectKeywords: Cross entropy; Importance sampling; Likelihood ratio degeneracy; Rare-event simulation; Variance minimization
dc.titleA Comparison of Cross-Entropy and Variance Minimization Strategies
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume48A
dc.date.issued2011
local.identifier.absfor010404 - Probability Theory
local.identifier.ariespublicationU9501697xPUB126
local.type.statusPublished Version
local.contributor.affiliationChan, Chi Chun (Joshua), College of Business and Economics, ANU
local.contributor.affiliationGlynn, Peter W., Dept of Management Science and Engineering, Stanfors University
local.contributor.affiliationKroese, Dirk, University of Queensland
local.description.embargo2037-12-31
local.bibliographicCitation.issue(2011)
local.bibliographicCitation.startpage183
local.bibliographicCitation.lastpage194
local.identifier.absseo970101 - Expanding Knowledge in the Mathematical Sciences
dc.date.updated2016-02-24T12:00:23Z
local.identifier.scopusID2-s2.0-84858015065
CollectionsANU Research Publications

Download

File Description SizeFormat Image
01_Chan_A_Comparison_of_Cross-Entropy_2011.pdf167.21 kBAdobe PDFThumbnail
Show simple item record


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator