The Cross-Entropy Method
A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning
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ISBN-13:
9780387212401
Veröffentl:
2004
Erscheinungsdatum:
28.07.2004
Seiten:
301
Autor:
Reuven Y Rubinstein
Gewicht:
584 g
Format:
244x164x22 mm
Sprache:
Englisch
Beschreibung:
The cross-entropy (CE) method is one of the most significant developments in stochastic optimization and simulation in recent years. This book explains in detail how and why the CE method works. The CE method involves an iterative procedure where each iteration can be broken down into two phases: (a) generate a random data sample (trajectories, vectors, etc.) according to a specified mechanism; (b) update the parameters of the random mechanism based on this data in order to produce a ``better'' sample in the next iteration. The simplicity and versatility of the method is illustrated via a diverse collection of optimization and estimation problems.
The cross-entropy (CE) method is one of the most significant developments in randomized optimization and simulation in recent years. This book explains in detail how and why the CE method works. The simplicity and versatility of the method is illustrated via a diverse collection of optimization and estimation problems. The book is aimed at a broad audience of engineers, computer scientists, mathematicians, statisticians and in general anyone, theorist and practitioner, who is interested in smart simulation, fast optimization, learning algorithms, and image processing.
1 Preliminaries.- 2 A Tutorial Introduction to the Cross-Entropy Method.- 3 Efficient Simulation via Cross-Entropy.- 4 Combinatorial Optimization via Cross-Entropy.- 5 Continuous Optimization and Modifications.- 6 Noisy Optimization with CE.- 7 Applications of CE to COPs.- 8 Applications of CE to Machine Learning.- A Example Programs.- A.1 Rare Event Simulation.- A.2 The Max-Cut Problem.- A.3 Continuous Optimization via the Normal Distribution.- A.4 FACE.- A.5 Rosenbrock.- A.6 Beta Updating.- A.7 Banana Data.- References.
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