Revision as of 10:04, 16 September 2023 edit The Anome (talk \| contribs) Edit filter managers, Administrators 260,121 edits Adding short description: "Monte Carlo method for importance sampling and optimization" Tag: Shortdesc helper ← Previous edit		Revision as of 09:14, 19 November 2023 edit undo Thatsme314 (talk \| contribs) Extended confirmed users 7,865 edits m dash Next edit →
Line 7: #Minimize the ''[[cross-entropy]]'' between this distribution and a target distribution to produce a better sample in the next iteration. [[Reuven Rubinstein]] developed the method in the context of ''rare -event simulation'', where tiny probabilities must be estimated, for example in network reliability analysis, queueing models, or performance analysis of telecommunication systems. The method has also been applied to the [[traveling salesman problem\|traveling salesman]], [[quadratic assignment problem\|quadratic assignment]], [[Sequence alignment\|DNA sequence alignment]], [[Maxcut\|max-cut]] and buffer allocation problems. ==Estimation via importance sampling==

Cross-entropy method: Difference between revisions