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

[41] Rubinstein R. Y., 2004, CROSS ENTROPY METHOD, DOI 10.1007/978-1-4757-4321-0
[42] Optimization of computer simulation models with rare events
Rubinstein, RY
[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 1997, 99 (01) : 89 - 112
[43] Rubinstein RY, 2001, APPL OPTIMIZAT, V54, P303
[44] Rubinstein RY., 1998, Modern simulation and modeling
[45] Rubinstein RY, 1993, Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method, V13
[46] Nested partitions method for global optimization
Shi, LY
Olafsson, S
[J]. OPERATIONS RESEARCH, 2000, 48 (03) : 390 - 407
[47] Sutton RS, 2000, ADV NEUR IN, V12, P1057
[48] VOUDOURIS C, 2003, BT TECHNOL J, V16, P46
[49] WATKINS CJCH, 1992, MACH LEARN, V8, P279, DOI 10.1007/BF00992698
[50] Webb A.R., 1999, STAT PATTERN RECOGNI

← 1 2 3 4 5 →