期刊
SIAM JOURNAL ON SCIENTIFIC COMPUTING
卷 36, 期 6, 页码 A2654-A2672出版社
SIAM PUBLICATIONS
DOI: 10.1137/14096493X
关键词
importance sampling; optimal control; cross-entropy method; rare events; change of measure
资金
- DFG Research Center MATHEON
- Einstein Center of Mathematics (ECMath)
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.
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