The Cross-Entropy Method

A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning

Reuven Y. Rubinstein, Dirk P. Kroese (Autoren)

Buch | Hardcover

301 Seiten

2004
Springer-Verlag New York Inc.
978-0-387-21240-1 (ISBN)

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This book is a comprehensive and accessible introduction to the cross-entropy (CE) method. The CE method started life around 1997 when the first author proposed an adaptive algorithm for rare-event simulation using a cross-entropy minimization technique. It was soon realized that the underlying ideas had a much wider range of application than just in rare-event simulation; they could be readily adapted to tackle quite general combinatorial and multi-extremal optimization problems, including many problems associated with the field of learning algorithms and neural computation. The book is based on an advanced undergraduate course on the CE method, given at the Israel Institute of Technology (Technion) for the last three years. It is aimed at a broad audience of engineers, computer scientists, mathematicians, statisticians and in general anyone, theorist or practitioner, who is interested in smart simulation, fast optimization, learning algorithms, image processing, etc. Our aim was to write a book on the CE method which was accessible to advanced undergraduate students and engineers who simply want to apply the CE method in their work, while at the same time accentu ating the unifying and novel mathematical ideas behind the CE method, so as to stimulate further research at a postgraduate level.

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.

Reihe/Serie	Information Science and Statistics
Zusatzinfo	60 Illustrations, black and white; XX, 301 p. 60 illus. With online files/update.
Verlagsort	New York, NY
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Informatik ► Grafik / Design ► Digitale Bildverarbeitung
	Informatik ► Theorie / Studium ► Künstliche Intelligenz / Robotik
	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Mathematik / Informatik ► Mathematik ► Computerprogramme / Computeralgebra
	Technik ► Elektrotechnik / Energietechnik
	Wirtschaft ► Betriebswirtschaft / Management
Schlagworte	Hardcover, Softcover / Informatik, EDV/Informatik • HC/Informatik, EDV/Informatik • Kombinatorische Optimierung • Maschinelles Lernen • Monte-Carlo-Methode
ISBN-10	0-387-21240-X / 038721240X
ISBN-13	978-0-387-21240-1 / 9780387212401
Zustand	Neuware