The Cross-Entropy Method: A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning
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...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
New York, NY
Springer New York
2004
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Ausgabe: | 1st ed. 2004 |
Schriftenreihe: | Information Science and Statistics
|
Schlagworte: | |
Online-Zugang: | UBY01 Volltext |
Zusammenfassung: | 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 book is aimed at a broad audience of engineers, computer scientists, mathematicians, statisticians and in general anyone, theorist or practitioner, who is interested in fast simulation, including rare-event probability estimation, efficient combinatorial and continuous multi-extremal optimization, and machine learning algorithms. Reuven Y. Rubinstein is the Milford Bohm Professor of Management at the Faculty of Industrial Engineering and Management at the Technion (Israel Institute of Technology). His primary areas of interest are stochastic modelling, applied probability, and simulation. He has written over 100 articles and has published five books. He is the pioneer of the well-known score-function and cross-entropy methods. Dirk P. Kroese is an expert on the cross-entropy method. He has published close to 40 papers in a wide range of subjects in applied probability and simulation. He is on the editorial board of Methodology and Computing in Applied Probability and is Guest Editor of the Annals of Operations Research. He has held research and teaching positions at Princeton University and The University of Melbourne, and is currently working at the Department of Mathematics of The University of Queensland. "Rarely have I seen such a dense and straight to the point pedagogical monograph on such a modern subject. This excellent book, on the simulated cross-entropy method (CEM) pioneered by one of the authors (Rubinstein), is very well written..." Computing Reviews, Stochastic Programming November, 2004 "It is a substantial contribution to stochastic optimization and more generally to the stochastic numerical methods theory." Short Book Reviews of the ISI, April 2005 "...I wholeheartedly recommend this book to anybody who is interested in stochastic optimization or simulation-based performance analysis of stochastic systems." Gazette of the Australian Mathematical Society, vol. 32 (3) 2005 |
Beschreibung: | 1 Online-Ressource (XX, 301 p. 60 illus) |
ISBN: | 9781475743210 |
DOI: | 10.1007/978-1-4757-4321-0 |
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520 | |a 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 book is aimed at a broad audience of engineers, computer scientists, mathematicians, statisticians and in general anyone, theorist or practitioner, who is interested in fast simulation, including rare-event probability estimation, efficient combinatorial and continuous multi-extremal optimization, and machine learning algorithms. | ||
520 | |a Reuven Y. Rubinstein is the Milford Bohm Professor of Management at the Faculty of Industrial Engineering and Management at the Technion (Israel Institute of Technology). His primary areas of interest are stochastic modelling, applied probability, and simulation. He has written over 100 articles and has published five books. He is the pioneer of the well-known score-function and cross-entropy methods. Dirk P. Kroese is an expert on the cross-entropy method. He has published close to 40 papers in a wide range of subjects in applied probability and simulation. He is on the editorial board of Methodology and Computing in Applied Probability and is Guest Editor of the Annals of Operations Research. He has held research and teaching positions at Princeton University and The University of Melbourne, and is currently working at the Department of Mathematics of The University of Queensland. | ||
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author | Rubinstein, Reuven Y. Kroese, Dirk P. |
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edition | 1st ed. 2004 |
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spelling | Rubinstein, Reuven Y. Verfasser aut The Cross-Entropy Method A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning by Reuven Y. Rubinstein, Dirk P. Kroese 1st ed. 2004 New York, NY Springer New York 2004 1 Online-Ressource (XX, 301 p. 60 illus) txt rdacontent c rdamedia cr rdacarrier Information Science and Statistics 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 book is aimed at a broad audience of engineers, computer scientists, mathematicians, statisticians and in general anyone, theorist or practitioner, who is interested in fast simulation, including rare-event probability estimation, efficient combinatorial and continuous multi-extremal optimization, and machine learning algorithms. Reuven Y. Rubinstein is the Milford Bohm Professor of Management at the Faculty of Industrial Engineering and Management at the Technion (Israel Institute of Technology). His primary areas of interest are stochastic modelling, applied probability, and simulation. He has written over 100 articles and has published five books. He is the pioneer of the well-known score-function and cross-entropy methods. Dirk P. Kroese is an expert on the cross-entropy method. He has published close to 40 papers in a wide range of subjects in applied probability and simulation. He is on the editorial board of Methodology and Computing in Applied Probability and is Guest Editor of the Annals of Operations Research. He has held research and teaching positions at Princeton University and The University of Melbourne, and is currently working at the Department of Mathematics of The University of Queensland. "Rarely have I seen such a dense and straight to the point pedagogical monograph on such a modern subject. This excellent book, on the simulated cross-entropy method (CEM) pioneered by one of the authors (Rubinstein), is very well written..." Computing Reviews, Stochastic Programming November, 2004 "It is a substantial contribution to stochastic optimization and more generally to the stochastic numerical methods theory." Short Book Reviews of the ISI, April 2005 "...I wholeheartedly recommend this book to anybody who is interested in stochastic optimization or simulation-based performance analysis of stochastic systems." Gazette of the Australian Mathematical Society, vol. 32 (3) 2005 Simulation and Modeling Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences Operations Research/Decision Theory Probability and Statistics in Computer Science Computational Intelligence Operations Research, Management Science Computer simulation Statistics Operations research Decision making Mathematical statistics Computational intelligence Management science Stochastische Optimierung (DE-588)4057625-5 gnd rswk-swf Monte-Carlo-Simulation (DE-588)4240945-7 gnd rswk-swf Kombinatorische Optimierung (DE-588)4031826-6 gnd rswk-swf Maschinelles Lernen (DE-588)4193754-5 gnd rswk-swf Maschinelles Lernen (DE-588)4193754-5 s DE-604 Stochastische Optimierung (DE-588)4057625-5 s Kombinatorische Optimierung (DE-588)4031826-6 s Monte-Carlo-Simulation (DE-588)4240945-7 s Kroese, Dirk P. aut Erscheint auch als Druck-Ausgabe 9781441919403 Erscheint auch als Druck-Ausgabe 9780387212401 Erscheint auch als Druck-Ausgabe 9781475743227 https://doi.org/10.1007/978-1-4757-4321-0 Verlag URL des Eerstveröffentlichers Volltext |
spellingShingle | Rubinstein, Reuven Y. Kroese, Dirk P. The Cross-Entropy Method A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning Simulation and Modeling Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences Operations Research/Decision Theory Probability and Statistics in Computer Science Computational Intelligence Operations Research, Management Science Computer simulation Statistics Operations research Decision making Mathematical statistics Computational intelligence Management science Stochastische Optimierung (DE-588)4057625-5 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd Kombinatorische Optimierung (DE-588)4031826-6 gnd Maschinelles Lernen (DE-588)4193754-5 gnd |
subject_GND | (DE-588)4057625-5 (DE-588)4240945-7 (DE-588)4031826-6 (DE-588)4193754-5 |
title | The Cross-Entropy Method A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning |
title_auth | The Cross-Entropy Method A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning |
title_exact_search | The Cross-Entropy Method A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning |
title_exact_search_txtP | The Cross-Entropy Method A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning |
title_full | The Cross-Entropy Method A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning by Reuven Y. Rubinstein, Dirk P. Kroese |
title_fullStr | The Cross-Entropy Method A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning by Reuven Y. Rubinstein, Dirk P. Kroese |
title_full_unstemmed | The Cross-Entropy Method A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning by Reuven Y. Rubinstein, Dirk P. Kroese |
title_short | The Cross-Entropy Method |
title_sort | the cross entropy method a unified approach to combinatorial optimization monte carlo simulation and machine learning |
title_sub | A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning |
topic | Simulation and Modeling Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences Operations Research/Decision Theory Probability and Statistics in Computer Science Computational Intelligence Operations Research, Management Science Computer simulation Statistics Operations research Decision making Mathematical statistics Computational intelligence Management science Stochastische Optimierung (DE-588)4057625-5 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd Kombinatorische Optimierung (DE-588)4031826-6 gnd Maschinelles Lernen (DE-588)4193754-5 gnd |
topic_facet | Simulation and Modeling Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences Operations Research/Decision Theory Probability and Statistics in Computer Science Computational Intelligence Operations Research, Management Science Computer simulation Statistics Operations research Decision making Mathematical statistics Computational intelligence Management science Stochastische Optimierung Monte-Carlo-Simulation Kombinatorische Optimierung Maschinelles Lernen |
url | https://doi.org/10.1007/978-1-4757-4321-0 |
work_keys_str_mv | AT rubinsteinreuveny thecrossentropymethodaunifiedapproachtocombinatorialoptimizationmontecarlosimulationandmachinelearning AT kroesedirkp thecrossentropymethodaunifiedapproachtocombinatorialoptimizationmontecarlosimulationandmachinelearning |