Fitting mixture importance sampling distributions via improved cross-entropy
- Publication Type:
- Conference Proceeding
- Proceedings - Winter Simulation Conference, 2011, pp. 422 - 428
- Issue Date:
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.
Please use this identifier to cite or link to this item: