Improved cross-entropy method for estimation

DOI10.1007/S11222-011-9275-7MaRDI QIDQ693334zbMATHOpenAlexWikidataFDO

Authors Joshua C. C. Chan, Dirk P. Kroese

Publication date 7 December 2012

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://espace.library.uq.edu.au/view/UQ:205500/improvedCE.pdf

zbMATH Keywords

importance samplingKullback-Leibler divergencerare-event simulationvariance minimizationlikelihood ratio degeneracy\(t\) copulas

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10)

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Cites work

• scientific article; zbMATH DE number 509150 (Why is no real title available?)
• scientific article; zbMATH DE number 597911 (Why is no real title available?)
• scientific article; zbMATH DE number 2117227 (Why is no real title available?)
• A comparison of cross-entropy and variance minimization strategies
• A fast cross-entropy method for estimating buffer overflows in queueing networks
• A note on estimating false alarm rates via importance sampling
• Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
• HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
• How to deal with the curse of dimensionality of likelihood ratios in Monte Carlo simulation
• Importance sampling simulations of Markovian reliability systems using cross-entropy
• Marginal Likelihood From the Metropolis–Hastings Output
• Marginal Likelihood from the Gibbs Output
• Optimization of computer simulation models with rare events
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• Rare-event probability estimation with conditional Monte Carlo
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
• Stochastic simulation: Algorithms and analysis
• The cross-entropy method for combinatorial and continuous optimization
• The cross-entropy method for network reliability estimation
• The transform likelihood ratio method for rare event simulation with heavy tails

Cited in

(13)

• Markov chain importance sampling with applications to rare event probability estimation
• A comparison of cross-entropy and variance minimization strategies
• Accurate and fast small \(p\)-value estimation for permutation tests in high-throughput genomic data analysis with the cross-entropy method
• A new variance reduction technique for estimating value-at-risk
• Applications of the cross-entropy method to importance sampling and optimal control of diffusions
• On the convergence of the cross-entropy method
• Rare-event simulation for neural network and random forest predictors
• Bayesian updating and marginal likelihood estimation by cross entropy based importance sampling
• Cross-entropy method for estimation of posterior expectation in Bayesian VAR models
• Computation of credit portfolio loss distribution by a cross entropy method
• An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting
• A cross-entropy scheme for mixtures
• Semiparametric cross entropy for rare-event simulation

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