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Improved cross-entropy method for estimation

Chan, Chi Chun (Joshua); Kroese, Dirk

Description

The cross-entropy (CE) method is an adaptive importance sampling procedure that has been successfully applied to a diverse range of complicated simulation problems. However, recent research has shown that in some high-dimensional settings, the likelihood

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/37656
Source: Statistics and Computing
DOI: 10.1007/s11222-011-9275-7

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