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A Comparison of Cross-Entropy and Variance Minimization Strategies
variance minimization cross-entropy importance sampling rareevent simulation likelihood ratio degeneracy
2015/7/6
The 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 es...
The Cross-Entropy Method for Estimation
cross-entropy estimation rare events importance sampling adaptive Monte Carlo zero-variance distribution
2015/7/6
This chapter describes how difficult statistical estimation problems can often be solved efficiently by means of the cross-entropy (CE) method. The CE method can be viewed as an adaptive importance sa...
Cross Entropy Method for Solving Generalized Orienteering Problem
Generalized Orienteering Problem Cross Entropy Combinatorial problem
2013/2/23
Optimization technique has been growing rapidly throughout the years. It is caused by the growing complexity of problems that require a relatively long time to solve using exact optimization approach....
Asymptotic optimality of the cross-entropy method for Markov chain problems
Asymptotic optimality cross-entropy method Markov chain problems
2010/3/11
The correspondence between the cross-entropymethod and the zero-variance
approximation to simulate a rare event problem in Markov chains is shown. This
leads to a sufficient condition that the cross...