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Fast Sequential Monte Carlo Methods for Counting and Optimization by Radislav Vaisman, Ad Ridder, Reuven Y. Rubinstein

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Chapter 2

Cross-Entropy Method

2.1 Introduction

The cross-entropy (CE) method is a powerful technique for solving difficult estimation and optimization problems, based on Kullback-Leibler (or cross-entropy) minimization [15]. It was pioneered by Rubinstein in 1999 [100] as an adaptive importance sampling procedure for the estimation of rare-event probabilities. Subsequent work in [101] [102] has shown that many optimization problems can be translated into a rare-event estimation problem. As a result, the CE method can be utilized as randomized algorithms for optimization. The gist of the idea is that the probability of locating an optimal or near-optimal solution using naive random search is a rare event probability. The cross-entropy method can be used to gradually change the sampling distribution of the random search so that the rare event is more likely to occur. For this purpose, using the cross-entropy or Kullback-Leibler divergence as a measure of closeness between two sampling distributions, the method estimates a sequence of parametric sampling distributions that converges to a distribution with probability mass concentrated in a region of near-optimal solutions.

To date, the CE method has been successfully applied to optimization and estimation problems. The former includes mixed-integer nonlinear programming [69], continuous optimal control problems [111] [112], continuous multiextremal optimization [71], multidimensional independent component analysis [116], optimal ...

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