Chapter 3

The Cross-Entropy Method for Optimization

Zdravko I. Botev1, Dirk P. Kroese2, Reuven Y. Rubinstein3 and Pierre L’Ecuyer1,    1Department of Computer Science and Operations Research, Université de Montréal, Montréal, Québec, Canada H3C 3J7, 2School of Mathematics and Physics, The University of Queensland, Brisbane 4072, Australia, 3Faculty of Industrial Engineering and Management, Technion, Haifa, Israel, 1botev@iro.umontreal.ca2kroese@maths.uq.edu.au3ierrr01@ie.technion.ac.il1lecuyer@iro.umontreal.ca

Abstract

The cross-entropy method is a versatile heuristic tool for solving difficult estimation and optimization problems, based on Kullback–Leibler (or cross-entropy) minimization. As an optimization method it unifies many existing population-based ...

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