Chan, Chi Chun (Joshua)Glynn, Peter W.Kroese, Dirk2015-12-080021-9002http://hdl.handle.net/1885/35647The 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 varKeywords: Cross entropy; Importance sampling; Likelihood ratio degeneracy; Rare-event simulation; Variance minimization20112016-02-24