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A Tutorial on the Cross-Entropy Method
Authors:Email author" target="_blank">Pieter-Tjerk?de BoerEmail author  Dirk?P?Kroese  Shie?Mannor  Reuven?Y?Rubinstein
Institution:(1) Department of Electrical Engineering, Mathematics and Computer Science, University of Twente, Enschede, The Netherlands;(2) Department of Mathematics, The University of Queensland, Brisbane, 4072, Australia;(3) Department of Electrical and Computer Engineering, McGill University, 3480 University Street, Montreal, Quebec, Canada;(4) Department of Industrial Engineering, Technion, Israel Institute of Technology, Haifa, 32000, Israel
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.
Keywords:cross-entropy method  Monte-Carlo simulation  randomized optimization  machine learning  rare events
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