A stochastic minimum cross-entropy method for combinatorial optimization and rare-event estimation

DOI10.1007/S11009-005-6653-7MaRDI QIDQ2487758zbMATH OpenOpenAlexFDO

Authors Reuven Y. Rubinstein

Publication date 8 August 2005

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-005-6653-7

zbMATH Keywords

combinatorial optimizationconvergencecross-entropynumerical resultsMonte Carlo simulationstochastic optimizationtravelling salesman problemrare-event estimationminimum cross-entropy method

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Combinatorial optimization (90C27) Stochastic programming (90C15) Combinatorial probability (60C05) Stochastic network models in operations research (90B15)

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Cites work

• scientific article; zbMATH DE number 41891 (Why is no real title available?)
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• scientific article; zbMATH DE number 1145157 (Why is no real title available?)
• scientific article; zbMATH DE number 194544 (Why is no real title available?)
• scientific article; zbMATH DE number 2117227 (Why is no real title available?)
• scientific article; zbMATH DE number 4184623 (Why is no real title available?)
• Monte Carlo strategies in scientific computing
• The cross-entropy method for combinatorial and continuous optimization

Cited in

(22)

• Cross-entropy and rare events for maximal cut and partition problems
• scientific article; zbMATH DE number 2117227 (Why is no real title available?)
• On the benefits of Laplace samples in solving a rare event problem using cross-entropy method
• Generalized estimates for performance sensitivities of stochastic systems
• Surrogates for numerical simulations; optimization of eddy-promoter heat exchangers
• An overview of population-based algorithms for multi-objective optimisation
• Combinatorial optimization, cross-entropy, ants and rare events
• Semi-iterative minimum cross-entropy algorithms for rare-events, counting, combinatorial and integer programming
• Cross entropy for multiobjective combinatorial optimization problems with linear relaxations
• Entropy and Cloning Methods for Combinatorial Optimization, Sampling and Counting Using the Gibbs Sampler
• Adapted cross entropy method to investigate costly price-changes in pricing and production planning
• Non-asymptotic bandwidth selection for density estimation of discrete data
• How many needles are in a haystack, or how to solve \#P-complete counting problems fast
• Sensitivity analysis and the ``what if problem in simulation analysis
• A tutorial on the cross-entropy method
• An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting
• The generalized cross entropy method, with applications to probability density estimation
• Multifidelity preconditioning of the cross-entropy method for rare event simulation and failure probability estimation
• A study on the cross-entropy method for rare-event probability estimation
• Generalized decomposition and cross entropy methods for many-objective optimization
• State-dependent importance sampling schemes via minimum cross-entropy
• scientific article; zbMATH DE number 1969696 (Why is no real title available?)

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