Bibliographic Details
| Title: |
A Cross-Entropy Scheme for Mixtures. |
| Authors: |
Wang, Hui, Zhou, Xiang |
| Superior Title: |
ACM Transactions on Modeling & Computer Simulation; Jan2015, Vol. 25 Issue 1, p1-20, 20p |
| Subject Terms: |
GAUSSIAN mixture models, BAYESIAN analysis, STATISTICAL physics, MATHEMATICAL analysis, NUMERICAL analysis |
| Abstract: |
We discuss how to generalize the classic cross-entropy method in the case where a family of mixture distributions, such as the mixture of multiple Gaussian modes, is used as an importance sampling distribution. A new iterative cross-entropy scheme, based on the idea of the EM method, is proposed to overcome the challenge of deciding the optimal weights for each mode in the mixture. Detailed studies of this new algorithm and its applications to the estimation of rainbow option prices are presented to demonstrate the efficiency of the scheme. [ABSTRACT FROM AUTHOR] |
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| Database: |
Complementary Index |
