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A tutorial on the cross-entropy method
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DOI：10.1007/s10479-005-5724-z.png)
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Abstract
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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.
Keywords:
cross-entropy method
Monte-Carlo simulation
randomized optimization
machine learning
rare events
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