A Comparison of Cross-Entropy and Variance Minimization Strategies
Chan, Chi Chun (Joshua); Glynn, Peter W.; Kroese, Dirk
Description
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 estimation problems. We compare these two methods via var
Collections | ANU Research Publications |
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Date published: | 2011 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/35647 |
Source: | Journal of Applied Probability |
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File | Description | Size | Format | Image |
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01_Chan_A_Comparison_of_Cross-Entropy_2011.pdf | 167.21 kB | Adobe PDF |
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