A tutorial on the cross-entropy method

被引：2101

作者：

De Boer, PT

Kroese, DP

Mannor, S

Rubinstein, RY

机构：

[1] Univ Twente, Dept Elect Engn Math & Comp Sci, NL-7500 AE Enschede, Netherlands

[2] Univ Queensland, Dept Math, Brisbane, Qld 4072, Australia

[3] McGill Univ, Dept Elect & Comp Engn, Montreal, PQ, Canada

[4] Technion Israel Inst Technol, Dept Ind Engn, IL-32000 Haifa, Israel

来源：

ANNALS OF OPERATIONS RESEARCH | 2005年 / 134卷 / 01期

基金：

以色列科学基金会;

关键词：

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

D O I：

10.1007/s10479-005-5724-z

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

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.

引用

页码：19 / 67

页数：49

共 50 条

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[12] Managing stochastic, finite capacity, multi-project systems through the cross-entropy methodology
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