Blanchet, J., & Shi, Y. (2013). Efficient rare event simulation for heavy-tailed systems via cross entropy. Operations Research Letters, 41(3), 271-276. https://doi.org/10.1016/j.orl.2013.02.004
Abstract
The cross entropy method is an iterative technique that is used to obtain a low-variance importance sampling (IS) distribution from a given parametric family, which must satisfy two properties. First, subsequent iterations of the parameters must be easily computable and, second, the family should approximate the zero-variance IS distribution. We obtain parametric families for which these two properties are satisfied for a large class of heavy-tailed systems. Our estimators are shown to be strongly efficient in these settings.
Authors
Jose Blanchet, Yixi Shi
Publication date
2013/5/1
Journal
Operations Research Letters
Volume
41
Issue
3
Pages
271-276
Publisher
North-Holland
