Improved cross-entropy method for estimation
نویسندگان
چکیده
منابع مشابه
Improved cross-entropy method for estimation
The cross-entropy (CE) method is an adaptive importance sampling procedure that has been successfully applied to a diverse range of complicated simulation problems. However, recent research has shown that in some high-dimensional settings, the likelihood ratio degeneracy problem becomes severe and the importance sampling estimator obtained from the CE algorithm becomes unreliable. We consider a...
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2011
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-011-9275-7