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

Research output: Contribution to journal › Article › Academic › peer-review

2957 Citations (Scopus)

3668 Downloads (Pure)

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

Access to Document

10.1007/s10479-005-5724-z

DeBoer2005tutorialFinal published version, 3.19 MBLicence: Taverne

Cite this

@article{750fabedbacb467c8fafd98b87f77436,

title = "A Tutorial on the Cross-Entropy Method",

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{\"i}¿½{\"i}¿½?cations, and discuss applications in combinatorial optimization and machine learning.",

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

author = "\{de Boer\}, Pieter-Tjerk and Kroese, \{Dirk P.\} and Shie Mannor and Rubinstein, \{Reuven Y.\}",

year = "2005",

month = jan,

doi = "10.1007/s10479-005-5724-z",

language = "English",

volume = "134",

pages = "19--67",

journal = "Annals of operations research",

issn = "0254-5330",

publisher = "Springer",

number = "1",

}

TY - JOUR

T1 - A Tutorial on the Cross-Entropy Method

AU - de Boer, Pieter-Tjerk

AU - Kroese, Dirk P.

AU - Mannor, Shie

AU - Rubinstein, Reuven Y.

PY - 2005/1

Y1 - 2005/1

N2 - 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.

AB - 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.

KW - Cross-entropy method

KW - Monte-Carlo simulation

KW - Randomized optimization

KW - Machine learning

KW - Rare events

KW - 2023 OA procedure

U2 - 10.1007/s10479-005-5724-z

DO - 10.1007/s10479-005-5724-z

M3 - Article

SN - 0254-5330

VL - 134

SP - 19

EP - 67

JO - Annals of operations research

JF - Annals of operations research

IS - 1

ER -

A Tutorial on the Cross-Entropy Method

Abstract

Keywords

Access to Document

Fingerprint

Cite this