Applications of the cross-entropy method to importance sampling and optimal control of diffusions
主 题: Applications of the cross-entropy method to importance sampling and optimal control of diffusions
报告人: 张伟 (ZIB Institute and Free University Berlin)
时 间: 2014-08-19 10:30-11:30
地 点: 理科一号楼 1303室（主持人：李铁军）
We study the cross-entropy method for diffusions. One of the results is a versatile cross-entropy
algorithm that can be applied to the design of efficient importance sampling strategies for rare events as well
as optimal control problems. The approach is based on the minimization of a suitable cross-entropy functional,
based on 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.
This is a joint work with Carsten Hartmann, Christof Schutte, Han Wang, Marcus Weber.
