Cross-entropy method: Difference between revisions

Revision as of 13:52, 26 August 2018

Revision as of 13:58, 28 August 2018

Line 2:

The '''cross-entropy''' ('''CE''') '''method''' is a [[Monte Carlo method|Monte Carlo]] method for [[importance sampling]] and [[Optimization (mathematics)|optimization]]. It is applicable to both [[Combinatorial optimization|combinatorial]] and [[Continuous optimization|continuous]] problems, with either a static or noisy objective.

The method approximates approximates the optimal importance sampling estimator by repeating two phases<ref> Rubinstein, R.Y. and Kroese, D.P. (2004), The Cross-Entropy Method: A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation, and Machine Learning, Springer-Verlag, New York {{ISBN|978-0-387-21240-1}}.</ref>:

#Draw a sample from a probability distribution.