Fitting mixture importance sampling distributions via improved cross-entropy

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Conference Proceeding
Proceedings of the 2011 Winter Simulation Conference (WSC), 2012, pp. 422 - 428
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In some rare-event settings, exponentially twisted distributions perform very badly. One solution to this problem is to use mixture distributions. However, it is difficult to select a good mixture distribution for importance sampling. We here introduce a simple adaptive method for choosing good mixture importance sampling distributions. © 2011 IEEE.
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