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A Comparison of Cross-Entropy and Variance Minimization Strategies

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Date

2011

Authors

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

Journal Title

Journal ISSN

Volume Title

Publisher

Applied Probability Trust

Abstract

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

Description

Keywords

Keywords: Cross entropy; Importance sampling; Likelihood ratio degeneracy; Rare-event simulation; Variance minimization

Citation

URI

http://hdl.handle.net/1885/35647

Collections

ANU Research Publications

Source

Journal of Applied Probability

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

Restricted until

2037-12-31

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01_Chan_A_Comparison_of_Cross-Entropy_2011.pdf (167.21 KB)

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