Rare event simulation and combinatorial optimization using cross entropy: estimation of rare event probabilities using cross-entropy.
Tito Homem-de-MelloReuven Y. RubinsteinPublished in: WSC (2002)
Keyphrases
- cross entropy
- rare events
- combinatorial optimization
- importance sampling
- metaheuristic
- log likelihood
- fraud detection
- maximum likelihood
- simulated annealing
- monte carlo
- optimization problems
- evaluation metrics
- distributed data
- class distribution
- class imbalance
- parameter estimation
- neural network
- markov chain
- density estimation
- supervised learning
- probability distribution
- objective function
- genetic algorithm