A comparison of cross-entropy and variance minimization strategies

DOI10.1239/JAP/1318940464zbMATH Open1241.65021OpenAlexW2159540136MaRDI QIDQ3094483FDOQ3094483

Authors: Joshua C. C. Chan, Dirk P. Kroese, Peter W. Glynn 

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1318940464

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zbMATH Keywords

importance samplingrare-event simulationcross entropyvariance minimizationlikelihood ratio degeneracy

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sampling theory, sample surveys (62D05) Analysis of variance and covariance (ANOVA) (62J10)

Cited In (6)

• Marginal Likelihood Estimation with the Cross-Entropy Method
• Efficient rare event simulation for heavy-tailed systems via cross entropy
• On the optimal importance process for piecewise deterministic Markov process
• A cross-entropy scheme for mixtures
• Markov chain importance sampling with applications to rare event probability estimation
• Improved cross-entropy method for estimation

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