The Cross-Entropy Method The cross-entropy (CE) method is one of the most significant developments in stochastic optimization and simulation in recent years. This book explains in detail how and why the CE method works. The CE method involves an iterative procedure where each iteration can be broken down into two phases: (a) generate a random data sample (trajectories, vectors, etc.) according to a specified mechanism; (b) update the parameters of the random mechanism based on this data in order to produce a better sample in the next iteration. The simplicity and versatility of the method is illustrated via a diverse collection of optimization and estimation problems.The book is aim...

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Rubinstein is the pioneer of the well-known score function and cross-entropy methods.

Accessible to a broad audience of engineers, computer scientists, mathematicians, statisticians and in general anyone, theorist and practitioner, who is interested in smart simulation, fast optimization, learning algorithms, and image processing.

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Articles li�s � The Cross-Entropy Method: A Unified Approach to Combinatoria...

The Cross-Entropy Method: A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning (Information Science and Statistics)

Rubinstein, Reuven Y.; Kroese, Dirk P.

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