Generalized Cross-Entropy Methods
https://people.smp.uq.edu.au/DirkKroese/ps/bokrta.pdfGeneralized Cross-Entropy Methods Z. I. Botev D. P. Kroese T. Taimre Abstract Thecross-entropyandminimum cross-entropymethodsarewell-known Monte Carlo simulation techniques for rare-event probability estimation and optimization. In this paper we investigate how these methods can be extended to provide a general non-parametric cross-entropy ...