A Tutorial on the Cross-Entropy Method

Pieter-Tjerk de Boer, Dirk Kroese, Shie Mannor, Reuven Y. Rubinstein

  • 493 Citations

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 languageUndefined
Pages (from-to)19-67
Number of pages49
JournalAnnals of operations research
Volume134
Issue number1
DOIs
StatePublished - Jan 2005

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Entropy
Combinatorial optimization
Learning systems
Positive ions

Keywords

  • EWI-7716
  • METIS-225939
  • IR-63619

Cite this

de Boer, P-T., Kroese, D., Mannor, S., & Rubinstein, R. Y. (2005). A Tutorial on the Cross-Entropy Method. Annals of operations research, 134(1), 19-67. DOI: 10.1007/s10479-005-5724-z

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

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

Research output: Scientific - peer-reviewArticle

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de Boer, P-T, Kroese, D, Mannor, S & Rubinstein, RY 2005, 'A Tutorial on the Cross-Entropy Method' Annals of operations research, vol 134, no. 1, pp. 19-67. DOI: 10.1007/s10479-005-5724-z

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

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

Research output: Scientific - peer-reviewArticle

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de Boer P-T, Kroese D, Mannor S, Rubinstein RY. A Tutorial on the Cross-Entropy Method. Annals of operations research. 2005 Jan;134(1):19-67. Available from, DOI: 10.1007/s10479-005-5724-z