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Improved cross-entropy method for estimation

Date

Authors

Chan, Chi Chun (Joshua)

Kroese, Dirk

Publisher

Kluwer Academic Publishers

Abstract

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

Keywords

Keywords: Cross-entropy; Importance sampling; Kullback-Leibler divergence; Likelihood ratio degeneracy; Rare-event simulation; t copula; Variance minimization

URI

http://hdl.handle.net/1885/37656

Collections

ANU Research Publications

Source

Statistics and Computing

Type

Journal article

DOI

10.1007/s11222-011-9275-7

Restricted until

2037-12-31

Downloads

File

Description

01_Chan_Improved_cross-entropy_method_2012.pdf (484.57 KB)

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