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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    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
    Issue number1
    Publication statusPublished - Jan 2005


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


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