A Tutorial on the Cross-Entropy Method

Pieter-Tjerk de Boer (Corresponding Author), Dirk P. Kroese, Shie Mannor, Reuven Y. Rubinstein

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Abstract

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 modi��?cations, and discuss applications in combinatorial optimization and machine learning.
Original languageEnglish
Pages (from-to)19-67
Number of pages49
JournalAnnals of operations research
Volume134
Issue number1
DOIs
Publication statusPublished - Jan 2005

Fingerprint

Cross-entropy
Tutorial
Combinatorial optimization
Methodology
Machine learning
Simulation
Rare events

Keywords

  • Cross-entropy method
  • Monte-Carlo simulation
  • Randomized optimization
  • Machine learning
  • Rare events

Cite this

de Boer, Pieter-Tjerk ; Kroese, Dirk P. ; Mannor, Shie ; Rubinstein, Reuven Y. / A Tutorial on the Cross-Entropy Method. In: Annals of operations research. 2005 ; Vol. 134, No. 1. pp. 19-67.
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de Boer, P-T, Kroese, DP, Mannor, S & Rubinstein, RY 2005, 'A Tutorial on the Cross-Entropy Method' Annals of operations research, vol. 134, no. 1, pp. 19-67. https://doi.org/10.1007/s10479-005-5724-z

A Tutorial on the Cross-Entropy Method. / de Boer, Pieter-Tjerk (Corresponding Author); Kroese, Dirk P.; Mannor, Shie; Rubinstein, Reuven Y.

In: Annals of operations research, Vol. 134, No. 1, 01.2005, p. 19-67.

Research output: Contribution to journalArticleAcademicpeer-review

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AU - de Boer, Pieter-Tjerk

AU - Kroese, Dirk P.

AU - Mannor, Shie

AU - Rubinstein, Reuven Y.

PY - 2005/1

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KW - Cross-entropy method

KW - Monte-Carlo simulation

KW - Randomized optimization

KW - Machine learning

KW - Rare events

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JO - Annals of operations research

JF - Annals of operations research

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