Semi-iterative minimum cross-entropy algorithms for rare-events, counting, combinatorial and integer programming

DOI10.1007/s11009-007-9061-3zbMath1145.65040OpenAlexW1980917180MaRDI QIDQ931381

Reuven Y. Rubinstein

Publication date: 25 June 2008

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

Full work available at URL: https://doi.org/10.1007/s11009-007-9061-3

zbMATH Keywords

numerical examplescombinatorial optimizationMonte Carlo simulationvariance minimizationBoltzmann distributioncounting problemsrare-event probability estimationlinear integer programminggeneric minimum cross-entropy method

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Monte Carlo methods (65C05) Integer programming (90C10) Linear programming (90C05) Combinatorial optimization (90C27) Measures of information, entropy (94A17)

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Cites Work

• Optimization of computer simulation models with rare events
• The cross-entropy method for combinatorial and continuous optimization
• A stochastic minimum cross-entropy method for combinatorial optimization and rare-event estimation
• A dynamic programming approach to efficient sampling from Boltzmann distributions
• A Study on the Cross-Entropy Method for Rare-Event Probability Estimation
• Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
• Simulation and the Monte Carlo Method
• Letter to the Editor—-A Closed Form Solution of Certain Programming Problems
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