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The Cross-Entropy Method for Estimation
cross-entropy estimation rare events importance sampling adaptive Monte Carlo zero-variance distribution
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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...
Asymptotic optimality of the cross-entropy method for Markov chain problems
Asymptotic optimality cross-entropy method Markov chain problems
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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...