Generalized Cross-entropy Methods with Applications to Rare-event Simulation and Optimization

Simulation

Volumn 83, Issue 11, 2007, Pages 785-806

  Botev, Z I ^a   Kroese, D P ^a   Taimre, T ^a  

^a UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

cross entropy method; Csis r's divergence; generalized cross entropy; maXimum entropy method; rare event simulation; stochastic optimization

Indexed keywords

NUMERICAL METHODS; OPTIMIZATION; PROBABILITY; RANDOM PROCESSES;

GENERALIZED CROSS-ENTROPY METHODS; MAXIMUM ENTROPY METHOD; RARE-EVENT SIMULATION; STOCHASTIC OPTIMIZATION;

COMPUTER SIMULATION;

EID: 39149086365     PISSN: 00375497     EISSN: None     Source Type: Journal    
DOI: 10.1177/0037549707087067     Document Type: Article

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