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    <id>5167</id>
    <completedYear/>
    <publishedYear>2014</publishedYear>
    <thesisYearAccepted/>
    <language>eng</language>
    <pageFirst>A2654</pageFirst>
    <pageLast>A2672</pageLast>
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    <edition/>
    <issue>6</issue>
    <volume>36</volume>
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    <title language="eng">Applications of the cross-entropy method to importance sampling and optimal control of diffusions</title>
    <parentTitle language="eng">Siam Journal on Scientific Computing</parentTitle>
    <identifier type="doi">10.1137/14096493X</identifier>
    <enrichment key="PeerReviewed">yes</enrichment>
    <enrichment key="PreprintUrn">urn:nbn:de:0297-zib-49720</enrichment>
    <author>Wei Zhang</author>
    <submitter>Erlinda Körnig</submitter>
    <author>Han Wang</author>
    <author>Carsten Hartmann</author>
    <author>Marcus Weber</author>
    <author>Christof Schütte</author>
    <collection role="institutes" number="num">Numerical Mathematics</collection>
    <collection role="institutes" number="compmol">Computational Molecular Design</collection>
    <collection role="persons" number="schuette">Schütte, Christof</collection>
    <collection role="persons" number="weber">Weber, Marcus</collection>
    <collection role="projects" number="MIP_FORMATION">MIP_FORMATION</collection>
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  </doc>
  <doc>
    <id>4972</id>
    <completedYear/>
    <publishedYear/>
    <thesisYearAccepted/>
    <language>eng</language>
    <pageFirst/>
    <pageLast/>
    <pageNumber/>
    <edition/>
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    <type>reportzib</type>
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    <publishedDate>2014-04-23</publishedDate>
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    <title language="eng">Applications of the cross-entropy method to importance sampling and optimal control of diffusions</title>
    <abstract language="eng">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.</abstract>
    <identifier type="issn">1438-0064</identifier>
    <identifier type="urn">urn:nbn:de:0297-zib-49720</identifier>
    <identifier type="doi">10.1137/14096493X</identifier>
    <enrichment key="PeerReviewed">yes</enrichment>
    <enrichment key="SourceTitle">Appeared in: Siam Journal on Scientific Computing 36 (2014) A 2654-A2672</enrichment>
    <author>Wei Zhang</author>
    <submitter>Erlinda Körnig</submitter>
    <author>Han Wang</author>
    <author>Carsten Hartmann</author>
    <author>Marcus Weber</author>
    <author>Christof Schütte</author>
    <series>
      <title>ZIB-Report</title>
      <number>14-10</number>
    </series>
    <subject>
      <language>eng</language>
      <type>uncontrolled</type>
      <value>important sampling</value>
    </subject>
    <subject>
      <language>eng</language>
      <type>uncontrolled</type>
      <value>optimal control</value>
    </subject>
    <subject>
      <language>eng</language>
      <type>uncontrolled</type>
      <value>cross-entropy method</value>
    </subject>
    <subject>
      <language>eng</language>
      <type>uncontrolled</type>
      <value>rare events</value>
    </subject>
    <subject>
      <language>eng</language>
      <type>uncontrolled</type>
      <value>change of measure</value>
    </subject>
    <collection role="msc" number="65C05">Monte Carlo methods</collection>
    <collection role="msc" number="93E20">Optimal stochastic control</collection>
    <collection role="msc" number="94A17">Measures of information, entropy</collection>
    <collection role="institutes" number="num">Numerical Mathematics</collection>
    <collection role="persons" number="schuette">Schütte, Christof</collection>
    <collection role="persons" number="weber">Weber, Marcus</collection>
    <collection role="projects" number="NonequiMSM">NonequiMSM</collection>
    <collection role="projects" number="SFB1114-A5">SFB1114-A5</collection>
    <file>https://opus4.kobv.de/opus4-zib/files/4972/ZIB-Report_14-10.pdf</file>
  </doc>
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