Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions

DOI10.1137/14096493XzbMath1310.65075OpenAlexW2027132443MaRDI QIDQ5176045

Christof Schütte, Han Wang, Marcus Weber, Wei Zhang, Carsten Hartmann

Publication date: 2 March 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/14096493x

zbMATH Keywords

algorithmdiffusionoptimal controlnumerical exampleimportance samplingrare eventschange of measurecross-entropy method

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Existence theories for optimal control problems involving ordinary differential equations (49J15) Numerical methods of relaxation type (49M20)

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