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arXiv · 2110.05684

Rare Events via Cross-Entropy Population Monte Carlo

Caleb Miller·Jem N. Corcoran·Michael D. Schneider
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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.

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Caleb Miller, Jem N. Corcoran, Michael D. Schneider. 2021-10-12. Rare Events via Cross-Entropy Population Monte Carlo. https://doi.org/10.1109/lsp.2021.3139572

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