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

Please always quote using this URN: urn:nbn:de:0297-zib-49720
  • 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.

Download full text files

Export metadata

  • Export Bibtex
Metadaten
Author:Wei Zhang, Han Wang, Carsten Hartmann, Marcus Weber, Christof Schütte
Document Type:ZIB-Report
Tag:change of measure; cross-entropy method; important sampling; optimal control; rare events
MSC-Classification:65-XX NUMERICAL ANALYSIS / 65Cxx Probabilistic methods, simulation and stochastic differential equations (For theoretical aspects, see 68U20 and 60H35) / 65C05 Monte Carlo methods
93-XX SYSTEMS THEORY; CONTROL (For optimal control, see 49-XX) / 93Exx Stochastic systems and control / 93E20 Optimal stochastic control
94-XX INFORMATION AND COMMUNICATION, CIRCUITS / 94Axx Communication, information / 94A17 Measures of information, entropy
Date of first Publication:2014/04/23
Series (Serial Number):ZIB-Report (14-10)
ISSN:1438-0064
Published in:Appeared in: Siam Journal on Scientific Computing 36 (2014) A 2654-A2672
DOI:http://dx.doi.org/10.1137/14096493X

$Rev: 13581 $