Rare Events via Cross-Entropy Population Monte Carlo
Computation
2022-02-09 v1
Abstract
We present a Cross-Entropy based population Monte Carlo algorithm. This methods stands apart from previous work in that we are not optimizing a mixture distribution. Instead, we leverage deterministic mixture weights and optimize the distributions individually through a reinterpretation of the typical derivation of the cross-entropy method. Demonstrations on numerical examples show that the algorithm can outperform existing resampling population Monte Carlo methods, especially for higher-dimensional problems.
Keywords
Cite
@article{arxiv.2110.05684,
title = {Rare Events via Cross-Entropy Population Monte Carlo},
author = {Caleb Miller and Jem N. Corcoran and Michael D. Schneider},
journal= {arXiv preprint arXiv:2110.05684},
year = {2022}
}