TY - GEN A1 - Zhang, Wei A1 - Wang, Han A1 - Hartmann, Carsten A1 - Weber, Marcus A1 - Schütte, Christof T1 - Applications of the cross-entropy method to importance sampling and optimal control of diffusions N2 - 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. T3 - ZIB-Report - 14-10 KW - important sampling KW - optimal control KW - cross-entropy method KW - rare events KW - change of measure Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-49720 SN - 1438-0064 ER -