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

2014 ◽  
Vol 36 (6) ◽  
pp. A2654-A2672 ◽  
Author(s):  
Wei Zhang ◽  
Han Wang ◽  
Carsten Hartmann ◽  
Marcus Weber ◽  
Christof Schütte
Keyword(s):  
Optimal Control ◽  
Importance Sampling ◽  
Entropy Method ◽  
Cross Entropy ◽  
Cross Entropy Method ◽  
The Cross

scholarly journals Semiparametric cross entropy for rare-event simulation

2016 ◽  
Vol 53 (3) ◽  
pp. 633-649 ◽  
Author(s):  
Z. I. Botev ◽  
A. Ridder ◽  
L. Rojas-Nandayapa
Keyword(s):  
Importance Sampling ◽  
Rare Event ◽  
Entropy Method ◽  
Sampling Distribution ◽  
Cross Entropy ◽  
Event Simulation ◽  
Importance Sampling Method ◽  
Cross Entropy Method ◽  
The Cross ◽  
Parametric Class

AbstractThe cross entropy is a well-known adaptive importance sampling method which requires estimating an optimal importance sampling distribution within a parametric class. In this paper we analyze an alternative version of the cross entropy, where the importance sampling distribution is selected instead within a general semiparametric class of distributions. We show that the semiparametric cross entropy method delivers efficient estimators in a wide variety of rare-event problems. We illustrate the favourable performance of the method with numerical experiments.

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