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A Stochastic Minimum Cross-Entropy Method for Combinatorial Optimization and Rare-event Estimation*

R. Y. Rubinstein ()
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R. Y. Rubinstein: Technion

Methodology and Computing in Applied Probability, 2005, vol. 7, issue 1, 5-50

Abstract: Abstract We present a new method, called the minimum cross-entropy (MCE) method for approximating the optimal solution of NP-hard combinatorial optimization problems and rare-event probability estimation, which can be viewed as an alternative to the standard cross entropy (CE) method. The MCE method presents a generic adaptive stochastic version of Kull-back’s classic MinxEnt method. We discuss its similarities and differences with the standard cross-entropy (CE) method and prove its convergence. We show numerically that MCE is a little more accurate than CE, but at the same time a little slower than CE. We also present a new method for trajectory generation for TSP and some related problems. We finally give some numerical results using MCE for rare-events probability estimation for simple static models, the maximal cut problem and the TSP, and point out some new areas of possible applications.

Keywords: combinatorial optimization; cross-entropy; rare-event estimation; Monte Carlo simulation; stochastic optimization (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s11009-005-6653-7

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