A Tutorial on the Cross-Entropy Method

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

Annals of Operations Research（2005）SCI 3区

Department of Electrical Engineering

被引用3985|浏览56

摘要

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.

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关键词

cross-entropy method,Monte-Carlo simulation,randomized optimization,machine learning,rare events