A Tutorial on the Cross-Entropy Method

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

    Research output: Contribution to journalArticleAcademicpeer-review

    743 Citations (Scopus)
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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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    keywords = "Cross-entropy method, Monte-Carlo simulation, Randomized optimization, Machine learning, Rare events",
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    year = "2005",
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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 - Rubinstein, Reuven Y.

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    KW - Monte-Carlo simulation

    KW - Randomized optimization

    KW - Machine learning

    KW - Rare events

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