Rare Event Estimation for Stati Models via Cross-Entropy and Importan e Sampling
نویسندگان
چکیده
منابع مشابه
Estimation of Rare Event Probabilities Using Cross - Entropy
This paper deals with estimation of probabilities of rare events in static simulation models using a fast adaptive two-stage procedure based on importance sampling and Kullback-Liebler’s cross-entropy (CE). More specifically, at the first stage we estimate the optimal parameter vector in the importance sampling distribution using CE, and at the second stage we estimate the desired rare event pr...
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