A Tutorial on the Cross-Entropy Method

A Tutorial on the Cross-Entropy Method

The cross-entropy (CE) method is a new generic approach to combinatorial and multi-extremal optimization and rare event simulation. The purpose of this tutorial is to give a gentle introduction to the CE method. We present the CE methodology, the basic algorithm and its modifications, and discuss ap...

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Veröffentlicht in:Annals of operations research 2005-01, Vol.134 (1), p.19-67
Hauptverfasser: de Boer, Pieter-Tjerk, Kroese, Dirk P., Mannor, Shie, Rubinstein, Reuven Y.
Format: Artikel
Sprache:eng
Schlagworte:
Artificial intelligence
Entropy
Methods
Monte Carlo simulation
Optimization
Studies
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Zusammenfassung:The cross-entropy (CE) method is a new generic approach to combinatorial and multi-extremal optimization and rare event simulation. The purpose of this tutorial is to give a gentle introduction to the CE method. We present the CE methodology, the basic algorithm and its modifications, and discuss applications in combinatorial optimization and machine learning. [PUBLICATION ABSTRACT]
ISSN:0254-5330
1572-9338
DOI:10.1007/s10479-005-5724-z