The cross entropy method

A trick in Monte Carlo simulation, particularly rejection sampling, to optimise an 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.


Boer, Pieter-Tjerk de, Dirk P. Kroese, Shie Mannor, and Reuven Y. Rubinstein. 2005. “A Tutorial on the Cross-Entropy Method.” Annals of Operations Research 134 (1): 19–67.
Botev, Zdravko I., Dirk P. Kroese, Reuven Y. Rubinstein, and Pierre L’Ecuyer. 2013. “Chapter 3 - The Cross-Entropy Method for Optimization.” In Handbook of Statistics, edited by C. R. Rao and Venu Govindaraju, 31:35–59. Handbook of Statistics. Elsevier.
Rubinstein, Reuven Y. 1997. “Optimization of Computer Simulation Models with Rare Events.” European Journal of Operational Research 99 (1): 89–112.
Rubinstein, Reuven Y., and Dirk P. Kroese. 2016. Simulation and the Monte Carlo Method. 3 edition. Wiley Series in Probability and Statistics. Hoboken, New Jersey: Wiley.
Rubinstein, Reuven Y, and Dirk P Kroese. 2004. The Cross-Entropy Method a Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning. New York, NY: Springer New York.

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