| Article ID: | iaor20053292 |
| Country: | Netherlands |
| Volume: | 134 |
| Issue: | 1 |
| Start Page Number: | 19 |
| End Page Number: | 67 |
| Publication Date: | Feb 2005 |
| Journal: | Annals of Operations Research |
| Authors: | Rubinstein Reuven Y., Kroese Dirk P., Boer Pieter-Tjerk de, Mannor Shie |
| Keywords: | heuristics, simulation |
The cross-entropy (CE) method is a new generic approach to combinatorial and multi-extremal optimization and rare event simulation. The purpose of this tutorial is to give a gentle introduction to the CE method. We present the CE methodology, the basic algorithm and its modifications, and discuss applications in combinatorial optimization and machine learning.