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MinXEnt is an analogy of the MaXimum Entropy Principle in the sense that the objective is to minimize a relative (or cross) entropy of a target density h from an unknown density f under suitable constraints. The main idea is to use the solution to this optimization program as the simulation density in importance sampling. We shall see that some eXisting importance sampling methods can be cast in a MinXEnt program, such as the large deviations approach for light tails and the hazard rate twisting for heavy tails. As an eXtension, we shall consider a correlated version of this hazard rate twisted solution which gives better simulation results. The sample generation is based on a Gibbs sampler algorithm.<\/jats:p>","DOI":"10.1177\/0037549707087713","type":"journal-article","created":{"date-parts":[[2008,2,12]],"date-time":"2008-02-12T09:34:02Z","timestamp":1202808842000},"page":"769-784","source":"Crossref","is-referenced-by-count":6,"title":["Minimum Cross-entropy Methods for Rare-event Simulation"],"prefix":"10.1177","volume":"83","author":[{"given":"Ad","family":"Ridder","sequence":"first","affiliation":[{"name":"Department of Econometrics Vrije Universiteit de Boelelaan 1105 1081 HV Amsterdam, Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Reuven","family":"Rubinstein","sequence":"additional","affiliation":[{"name":"Faculty of Industrial Engineering and Management Technion Haifa, Israel"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"179","published-online":{"date-parts":[[2007,11,1]]},"reference":[{"key":"atypb1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-4078-3"},{"key":"atypb2","doi-asserted-by":"publisher","DOI":"10.1145\/203091.203094"},{"key":"atypb3","unstructured":"Asmussen, S. and R.Y. Rubinstein . 1995. Steady-state rare-events simulation in queueing models and its complexity properties. Advances in Queueing: Models, Methods and Problems. J. Dshalalow (ed.) CRC Press: Boca Raton; 429\u2014466."},{"key":"atypb4","doi-asserted-by":"crossref","unstructured":"Juneja, S. and P. Shahabuddin. 2006. Rare-event simulation techniques: an introduction and recent advances. Handbooks in Operations Research and Management Science, Vol. 13: Simulation. S. Henderson and B. Nelson (eds.) 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