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A Comparison of Cross-Entropy and Variance Minimization Strategies
variance minimization cross-entropy importance sampling rareevent simulation likelihood ratio degeneracy
2015/7/6
The variance minimization (VM) and cross-entropy (CE) methods are two versatile adaptive importance sampling procedures that have been successfully applied to a wide variety of difficult rare-event es...
CG VERSUS MINRES: AN EMPIRICAL COMPARISON
conjugate gradient method minimum residual method
2015/7/3
For iterative solution of symmetric systems Ax = b, the conjugate gradient method
(CG) is commonly used when A is positive de nite, while the minimum residual method (MINRES)
is typically reserved f...