Applications of the cross-entropy method to importance sampling and optimal control of diffusions

SIAM Journal on Scientific Computing

Volumn 36, Issue 6, 2014, Pages A2654-A2672

  Zhang, Wei ^a   Wang, Han ^b   Hartmann, Carsten ^b   Weber, Marcus ^a   Schütte, Christof ^a,b  

^a ZUSE INSTITUTE BERLIN   (Germany)

^b FREIE UNIVERSITÄT BERLIN   (Germany)

Author keywords

Change of measure; Cross entropy method; Importance sampling; Optimal control; Rare events

Indexed keywords

NUMERICAL METHODS; OPTIMAL CONTROL SYSTEMS; PROBABILITY DISTRIBUTIONS;

CHANGE OF MEASURE; CROSS ENTROPY; CROSS-ENTROPY METHOD; EFFICIENT IMPORTANCE SAMPLINGS; ENTROPY ALGORITHMS; MINIMISATION; OPTIMAL CONTROL PROBLEM; OPTIMAL CONTROLS; RARE EVENT; SAMPLING STRATEGIES;

IMPORTANCE SAMPLING;

EID: 84919652788     PISSN: 10648275     EISSN: 10957197     Source Type: Journal    
DOI: 10.1137/14096493X     Document Type: Article

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