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Rare event simulation and combinatorial optimization using cross entropy: estimation of rare event probabilities using cross-entropy

Tito Homem-de-Mello, Reuven Y. Rubinstein. Rare event simulation and combinatorial optimization using cross entropy: estimation of rare event probabilities using cross-entropy. In Jane L. Snowdon, John M. Charnes, editors, Proceedings of the 34th Winter Simulation Conference: Exploring New Frontiers, San Diego, California, USA, December 8-11, 2002. pages 310-319, ACM, 2002. [doi]

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