A comparison of cross-entropy and variance minimization strategies

DOI10.1239/JAP/1318940464MaRDI QIDQ3094483zbMATH OpenOpenAlexFDO

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

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)

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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
• Markov chain importance sampling with applications to rare event probability estimation
• A cross-entropy scheme for mixtures
• Improved cross-entropy method for estimation

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