# Simulation of rare events and optimisation with the cross-entropy method

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The cross-entropy method is a parametric technique performing adaptive importance sampling in Monte-Carlo methods. Information about the distribution being integrated is collected as samples are ...

The cross-entropy method is a parametric technique performing adaptive importance sampling in Monte-Carlo methods. Information about the distribution being integrated is collected as samples are generated from a parametric sampling distribution. The parameters of this distribution are iteratively updated to minimize the cross-entropy between the sample of the distribution of interest and the sampling distribution. This versatile adaptive technique has found many applications in rare even simulation, combinatorial optimization and optimization of functions with multiple extrema. Through a series of use cases, I'll present a quick practioner's guide to using the cross-entropy method and will discuss common tricks and pitfalls.

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Full NameComment goes here.Arthur Breitman, Portfolio Manager at White Bay PT http://blip.tv/xamdam/cross-entropy-5495602Arthur Breitman, Portfolio Manager at White Bay PT <br /><object type="application/x-shockwave-flash" data="http://a.blip.tv/api.swf#AYLPtxYC" width="350" height="288"><param name="movie" value="http://a.blip.tv/api.swf#AYLPtxYC"></param><embed src="http://a.blip.tv/api.swf#AYLPtxYC" width="350" height="288" type="application/x-shockwave-flash"></embed></object>Rika Tajima7 months ago