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Book Chapter

Cross-Entropy Method

  • Kroese D
  • Rubinstein R
  • Cohen I
  • et al.
Springer US, (2013), 326-333
DOI: 10.1007/978-1-4419-1153-7_131
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Abstract

The cross-entropy method is a recent versatile Monte Carlo technique. This article provides a brief introduction to the cross-entropy method and discusses how it can be used for rare-event probability estimation and for solving combinatorial, continuous, constrained, and noisy optimization problems. A comprehensive list of references on cross-entropy methods and applications is included.

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APA

Kroese, D. P., Rubinstein, R. Y., Cohen, I., Porotsky, S., & Taimre, T. (2013). Cross-Entropy Method. In Encyclopedia of Operations Research and Management Science (pp. 326–333). Springer US. https://doi.org/10.1007/978-1-4419-1153-7_131

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