A Tutorial on the Cross-Entropy Method

Pieter-Tjerk de Boer (), Dirk Kroese (), Shie Mannor () and Reuven Rubinstein ()

Annals of Operations Research, 2005, vol. 134, issue 1, 19-67

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 modifications, and discuss applications in combinatorial optimization and machine learning. Copyright Springer Science + Business Media, Inc. 2005

Keywords: cross-entropy method; Monte-Carlo simulation; randomized optimization; machine learning; rare events (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10479-005-5724-z

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