Journal
SIAM JOURNAL ON SCIENTIFIC COMPUTING
Volume 36, Issue 6, Pages A2654-A2672Publisher
SIAM PUBLICATIONS
DOI: 10.1137/14096493X
Keywords
importance sampling; optimal control; cross-entropy method; rare events; change of measure
Categories
Funding
- DFG Research Center MATHEON
- Einstein Center of Mathematics (ECMath)
Ask authors/readers for more resources
We study the cross-entropy method for diffusions. One of the results is a versatile cross-entropy algorithm that can be used to design efficient importance sampling strategies for rare events or to solve optimal control problems. The approach is based on the minimization of a suitable cross-entropy functional, with a parametric family of exponentially tilted probability distributions. We illustrate the new algorithm with several numerical examples and discuss algorithmic issues and possible extensions of the method.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available