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2004

Global Likelihood Optimization Via the Cross-Entropy Method, with an Application to Mixture Models

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Global Likelihood Optimization Via the Cross-Entropy Method, with an Application to Mixture Models
Global likelihood maximization is an important aspect of many statistical analyses. Often the likelihood function is highly multi-extremal. This presents a significant challenge to standard search procedures, which often settle too quickly into an inferior local maximum. We present a new approach based on the cross-entropy (CE) method, and illustrate its use for the analysis of mixture models.
Zdravko I. Botev, Dirk P. Kroese
Added 31 Oct 2010
Updated 31 Oct 2010
Type Conference
Year 2004
Where WSC
Authors Zdravko I. Botev, Dirk P. Kroese
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