Cross-entropy method: Difference between revisions

Revision as of 05:21, 22 March 2016

Revision as of 14:33, 17 June 2016

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The '''cross-entropy''' ('''CE''') '''method''' attributed to [[Reuven Rubinstein]] is a general [[Monte Carlo method|Monte Carlo]] approach to

[[Combinatorial optimization|combinatorial]] and [[Continuous optimization|continuous]] multi-extremal [[Optimization (mathematics)|optimization]] and [[importance sampling]].

The method originated from the field of ''rare event simulation'', where