The cross entropy method

2020-04-24 — 2020-04-24

Wherein the cross entropy method is applied to optimise a proposal distribution for rejection sampling within a Monte Carlo simulation context, and a worked example is constructed for eventual inclusion in Wikipedia.

Bayes

estimator distribution

Monte Carlo

probabilistic algorithms

probability

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. “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.