94A17 Measures of information, entropy
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Applications of the cross-entropy method to importance sampling and optimal control of diffusions
(2014)
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.
For using Data Mining, especially cluster analysis, one needs measures to determine the similarity or distance between data objects. In many application fields the data objects can have different information levels. In this case the widely used euclidean distance is an inappropriate measure. The present paper describes a concept how to use data of different information levels in cluster analysis and suggests an appropriate similarity measure. An example from practice is included, that shows the usefulness of the concept and the measure in combination with {\sc Kohonens} Self-Organizing Map algorithm, a well-known and powerful tool for cluster analysis.