Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions

DOI10.1137/14096493XzbMath1310.65075MaRDI QIDQ5176045

Carsten Hartmann, Christof Schütte, Marcus Weber, Han Wang, Wei Zhang

Publication date: 2 March 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

algorithm; diffusion; optimal control; numerical example; importance sampling; rare events; change of measure; cross-entropy method

Mathematics Subject Classification ID

65K10: Numerical optimization and variational techniques

49J15: Existence theories for optimal control problems involving ordinary differential equations

49M20: Numerical methods of relaxation type