The Cross Entropy Method

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The Cross Entropy Method

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Author : Reuven Y. Rubinstein
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-07-28

The Cross Entropy Method written by Reuven Y. Rubinstein and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-07-28 with Business & Economics categories.

Rubinstein is the pioneer of the well-known score function and cross-entropy methods. Accessible to a broad audience of engineers, computer scientists, mathematicians, statisticians and in general anyone, theorist and practitioner, who is interested in smart simulation, fast optimization, learning algorithms, and image processing.

The Cross Entropy Method

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Author : Reuven Y. Rubinstein
language : en
Publisher:
Release Date : 2014-01-15

The Cross Entropy Method written by Reuven Y. Rubinstein and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-01-15 with categories.

The Cross Entropy Method For Combinatorial Optimization Rare Event Simulation And Neural Computation

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Author :
language : en
Publisher:
Release Date : 2005

The Cross Entropy Method For Combinatorial Optimization Rare Event Simulation And Neural Computation written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Combinatorial optimization categories.

The Cross Entropy Method For Combinatorial Optimization With Applications

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Author : Uri Dubin
language : en
Publisher:
Release Date : 2002

The Cross Entropy Method For Combinatorial Optimization With Applications written by Uri Dubin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.

The Cross Entropy Method For Combinatorial And Continuous Optimization

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Author : Alexander Podgaetsky
language : en
Publisher:
Release Date : 1999

The Cross Entropy Method For Combinatorial And Continuous Optimization written by Alexander Podgaetsky and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.

Cross Entropy Method

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Author : Uri Dubin
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2013

Cross Entropy Method written by Uri Dubin and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

The goal of this work is to study the application of the Cross-Entropy (CE) algorithm to problems in combinatorial optimization. This relatively new algorithm has been successfully applied to the Maximum Cut, the Travelling Salesperson, the Shortest Path problems, to Networks, Graph Coloring and other types of hard optimization problems. The CE method is based on an adaptive generic randomized algorithm. It employs an auxiliary random mechanism (a distribution function) equipped with a set of parameters, which transforms the deterministic problem into a stochastic one. The CE algorithm is a multiple iteration procedure, where each iteration involves two phases: 1. Generation of random solutions using a parametric auxiliary distribution followed by a calculation of the associated objective function. 2. Updating the parameter vector, on the basis of the best scoring solutions generated. In the first part the question of convergence of the CE procedure is explored. Using tools from Information Geometry. The second part is more experimental. New applications of the CE for real-life problems are described.

Simulation And The Monte Carlo Method

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Author : Reuven Y. Rubinstein
language : en
Publisher: John Wiley & Sons
Release Date : 2011-09-20

Simulation And The Monte Carlo Method written by Reuven Y. Rubinstein and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-20 with Mathematics categories.

This accessible new edition explores the major topics in Monte Carlo simulation Simulation and the Monte Carlo Method, Second Edition reflects the latest developments in the field and presents a fully updated and comprehensive account of the major topics that have emerged in Monte Carlo simulation since the publication of the classic First Edition over twenty-five years ago. While maintaining its accessible and intuitive approach, this revised edition features a wealth of up-to-date information that facilitates a deeper understanding of problem solving across a wide array of subject areas, such as engineering, statistics, computer science, mathematics, and the physical and life sciences. The book begins with a modernized introduction that addresses the basic concepts of probability, Markov processes, and convex optimization. Subsequent chapters discuss the dramatic changes that have occurred in the field of the Monte Carlo method, with coverage of many modern topics including: Markov Chain Monte Carlo Variance reduction techniques such as the transform likelihood ratio method and the screening method The score function method for sensitivity analysis The stochastic approximation method and the stochastic counter-part method for Monte Carlo optimization The cross-entropy method to rare events estimation and combinatorial optimization Application of Monte Carlo techniques for counting problems, with an emphasis on the parametric minimum cross-entropy method An extensive range of exercises is provided at the end of each chapter, with more difficult sections and exercises marked accordingly for advanced readers. A generous sampling of applied examples is positioned throughout the book, emphasizing various areas of application, and a detailed appendix presents an introduction to exponential families, a discussion of the computational complexity of stochastic programming problems, and sample MATLAB programs. Requiring only a basic, introductory knowledge of probability and statistics, Simulation and the Monte Carlo Method, Second Edition is an excellent text for upper-undergraduate and beginning graduate courses in simulation and Monte Carlo techniques. The book also serves as a valuable reference for professionals who would like to achieve a more formal understanding of the Monte Carlo method.

Handbook Of Monte Carlo Methods

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Author : Dirk P. Kroese
language : en
Publisher: John Wiley & Sons
Release Date : 2013-06-06

Handbook Of Monte Carlo Methods written by Dirk P. Kroese and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-06 with Mathematics categories.

A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.

Cross Entropy Method For Combinatorial Optimization

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Author : Leonid Margolin
language : en
Publisher:
Release Date : 2003

Cross Entropy Method For Combinatorial Optimization written by Leonid Margolin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.

The Application Of The Cross Entropy Method To The Estimation Of Stiffness In Structures

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Author : Brian J. Walsh
language : en
Publisher:
Release Date : 2010

The Application Of The Cross Entropy Method To The Estimation Of Stiffness In Structures written by Brian J. Walsh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.