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A Tutorial on the Cross-Entropy Method

Author

Listed:
  • Pieter-Tjerk de Boer
  • Dirk Kroese
  • Shie Mannor
  • Reuven Rubinstein

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. Copyright Springer Science + Business Media, Inc. 2005

Suggested Citation

  • Pieter-Tjerk de Boer & Dirk Kroese & Shie Mannor & Reuven Rubinstein, 2005. "A Tutorial on the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 19-67, February.
    • Handle: RePEc:spr:annopr:v:134:y:2005:i:1:p:19-67:10.1007/s10479-005-5724-z
    DOI: 10.1007/s10479-005-5724-z
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    References listed on IDEAS

    as
    1. Leyuan Shi & Sigurdur Ólafsson, 2000. "Nested Partitions Method for Global Optimization," Operations Research, INFORMS, vol. 48(3), pages 390-407, June.
    2. G. Alon & D. Kroese & T. Raviv & R. Rubinstein, 2005. "Application of the Cross-Entropy Method to the Buffer Allocation Problem in a Simulation-Based Environment," Annals of Operations Research, Springer, vol. 134(1), pages 137-151, February.
    3. Krishna Chepuri & Tito Homem-de-Mello, 2005. "Solving the Vehicle Routing Problem with Stochastic Demands using the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 153-181, February.
    4. P. T. de Boer & D. P. Kroese & R. Y. Rubinstein, 2004. "A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks," Management Science, INFORMS, vol. 50(7), pages 883-895, July.
    5. Izack Cohen & Boaz Golany & Avraham Shtub, 2005. "Managing Stochastic, Finite Capacity, Multi-Project Systems through the Cross-Entropy Methodology," Annals of Operations Research, Springer, vol. 134(1), pages 183-199, February.
    6. Ad Ridder, 2005. "Importance Sampling Simulations of Markovian Reliability Systems Using Cross-Entropy," Annals of Operations Research, Springer, vol. 134(1), pages 119-136, February.
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