The Cross-Entropy Method for Optimization

The Cross-Entropy Method for Optimization

The cross-entropy method is a versatile heuristic tool for solving difficult estimation and optimization problems, based on Kullback–Leibler (or cross-entropy) minimization. As an optimization method it unifies many existing population-based optimization heuristics. In this chapter we show how the c...

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Bibliographische Detailangaben
Hauptverfasser: Botev, Zdravko I., Kroese, Dirk P., Rubinstein, Reuven Y., L’Ecuyer, Pierre
Format: Buchkapitel
Sprache:eng
Schlagworte:
Business applications
continuous and combinatorial optimization
cross-entropy
Expert systems / knowledge-based systems
likelihood maximization
network planning problem
noisy optimization
population Monte Carlo
Probability & statistics
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Beschreibung
Zusammenfassung:The cross-entropy method is a versatile heuristic tool for solving difficult estimation and optimization problems, based on Kullback–Leibler (or cross-entropy) minimization. As an optimization method it unifies many existing population-based optimization heuristics. In this chapter we show how the cross-entropy method can be applied to a diverse range of combinatorial, continuous, and noisy optimization problems.
ISSN:0169-7161
1875-7448
DOI:10.1016/B978-0-444-53859-8.00003-5