A Tutorial on the Cross-Entropy Method

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

doi:10.1007/s10479-005-5724-z

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 modiï¿½ï¿½?cations, and discuss applications in combinatorial optimization and machine learning.

Original language	English
Pages (from-to)	19-67
Number of pages	49
Journal	Annals of operations research
Volume	134
Issue number	1
DOIs	https://doi.org/10.1007/s10479-005-5724-z
Publication status	Published - Jan 2005

Keywords

Cross-entropy method
Monte-Carlo simulation
Randomized optimization
Machine learning
Rare events
2023 OA procedure

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10.1007/s10479-005-5724-z

DeBoer2005tutorialFinal published version, 3.19 MBLicence: Taverne

Cite this

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KW - Cross-entropy method

KW - Monte-Carlo simulation

KW - Randomized optimization

KW - Machine learning

KW - Rare events

KW - 2023 OA procedure

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JO - Annals of operations research

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A Tutorial on the Cross-Entropy Method

Abstract

Keywords

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