Related papers: Cross-Entropy method: convergence issues for exten…
The study considers the usage of a probabilistic optimization method called Cross-Entropy (CE). This is the version of the Monte Carlo method created by Reuven Rubinstein (1997). It was developed in the context of determining rare events.…
The cross-entropy (CE) method is a popular stochastic method for optimization due to its simplicity and effectiveness. Designed for rare-event simulations where the probability of a target event occurring is relatively small, the CE-method…
This paper deals with the estimation of rare event probabilities using importance sampling (IS), where an optimal proposal distribution is computed with the cross-entropy (CE) method. Although, IS optimized with the CE method leads to an…
The cross entropy (CE) method is a model based search method to solve optimization problems where the objective function has minimal structure. The Monte-Carlo version of the CE method employs the naive sample averaging technique which is…
The Improved Cross-Entropy (ICE) method is a powerful tool for estimating failure probabilities in reliability analysis. Its core idea is to approximate the optimal importance-sampling density by minimizing the forward Kullback-Leibler…
The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density within a parametric class. In this article we estimate an…
The cross-entropy (CE) method is simple and versatile technique for optimization, based on Kullback-Leibler (or cross-entropy) minimization. The method can be applied to a wide range of optimization tasks, including continuous, discrete,…
This letter considers optimizing user association in a heterogeneous network via utility maximization, which is a combinatorial optimization problem due to integer constraints. Different from existing solutions based on convex optimization,…
The estimation of rare event or failure probabilities in high dimensions is of interest in many areas of science and technology. We consider problems where the rare event is expressed in terms of a computationally costly numerical model.…
This paper proposes a way to combine the Mesh Adaptive Direct Search (MADS) algorithm with the Cross-Entropy (CE) method for non smooth constrained optimization. The CE method is used as a Search step by the MADS algorithm. The result of…
We study the cross-entropy method (CEM) for the non-convex optimization of a continuous and parameterized objective function and introduce a differentiable variant that enables us to differentiate the output of CEM with respect to the…
Trajectory optimizers for model-based reinforcement learning, such as the Cross-Entropy Method (CEM), can yield compelling results even in high-dimensional control tasks and sparse-reward environments. However, their sampling inefficiency…
We present a Cross-Entropy based population Monte Carlo algorithm. This methods stands apart from previous work in that we are not optimizing a mixture distribution. Instead, we leverage deterministic mixture weights and optimize the…
Cross Entropy (CE) has an important role in machine learning and, in particular, in neural networks. It is commonly used in neural networks as the cost between the known distribution of the label and the Softmax/Sigmoid output. In this…
We employ the Bayesian improved cross entropy (BiCE) method for rare event estimation in static networks and choose the categorical mixture as the parametric family to capture the dependence among network components. At each iteration of…
The cross-entropy method is a simple but efficient method for global optimization. In this paper we provide two online variants of the basic CEM, together with a proof of convergence.
The key issue in importance sampling is the choice of the alternative sampling distribution, which is often chosen from the exponential tilt family of the underlying distribution. However, when the problem exhibits certain kind of…
Revision of the paper previously entitled "Learning a Machine for the Decision in a Partially Observable Markov Universe" In this paper, we are interested in optimal decisions in a partially observable universe. Our approach is to directly…
We propose a modification of the improved cross entropy (iCE) method to enhance its performance for network reliability assessment. The iCE method performs a transition from the nominal density to the optimal importance sampling (IS)…
To efficiently evaluate system reliability based on Monte Carlo simulation, importance sampling is used widely. The optimal importance sampling density was derived in 1950s for the deterministic simulation model, which maps an input to an…