# The cross entropy method

April 24, 2020 — April 24, 2020

A trick in Monte Carlo simulation, particularly rejection sampling, to optimise a proposal distribution. This notebook exists because I need to quickly audition this method for solving a problem and the wikipedia explanation is incomprehensible. I will create an explanatory example here and put it in Wikipedia. Maybe.

## 1 References

Botev, Kroese, Rubinstein, et al. 2013. “Chapter 3 - The Cross-Entropy Method for Optimization.” In

*Handbook of Statistics*. Handbook of Statistics.
de Boer, Kroese, Mannor, et al. 2005. “A Tutorial on the Cross-Entropy Method.”

*Annals of Operations Research*.
Rubinstein, Reuven Y. 1997. “Optimization of Computer Simulation Models with Rare Events.”

*European Journal of Operational Research*.
Rubinstein, Reuven Y, and Kroese. 2004.

*The Cross-Entropy Method a Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning*.
Rubinstein, Reuven Y., and Kroese. 2016.

*Simulation and the Monte Carlo Method*. Wiley series in probability and statistics.