research-article

On the performance of the cross-entropy method

Authors:

Ping HuAuthors Info & Claims

WSC '09: Winter Simulation Conference

Pages 459 - 468

Published: 13 December 2009 Publication History

Abstract

We study the recently introduced Cross-Entropy (CE) method for optimization, an iterative random sampling approach that is based on sampling and updating an underlying distribution function over the set of feasible solutions. In particular, we propose a systematic approach to investigate the convergence and asymptotic convergence rate for the CE method through a novel connection with the well-known stochastic approximation procedures. Extensions of the approach to stochastic optimization will also be discussed.

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Cited By

O'Kelly MSinha ANamkoong HDuchi JTedrake R(2018)Scalable end-to-end autonomous vehicle testing via rare-event simulationProceedings of the 32nd International Conference on Neural Information Processing Systems10.5555/3327546.3327650(9849-9860)Online publication date: 3-Dec-2018
https://dl.acm.org/doi/10.5555/3327546.3327650
Joseph ABhatnagar S(2018)An online prediction algorithm for reinforcement learning with linear function approximation using cross entropy methodMachine Language10.1007/s10994-018-5727-z107:8-10(1385-1429)Online publication date: 1-Sep-2018
https://dl.acm.org/doi/10.1007/s10994-018-5727-z
Zhang QHu J(2017)A two-time-scale adaptive search algorithm for global optimizationProceedings of the 2017 Winter Simulation Conference10.5555/3242181.3242354(1-11)Online publication date: 3-Dec-2017
https://dl.acm.org/doi/10.5555/3242181.3242354
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On the performance of the cross-entropy method
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Information & Contributors

Information

Published In

cover image ACM Conferences

WSC '09: Winter Simulation Conference

December 2009

3211 pages

ISBN:9781424457717

General Chair:
Ann Dunkin
Palo Alto Unified School District
,
Program Chair:
Ricki G. Ingalls
Oklahoma State University

Sponsors

IIE: Institute of Industrial Engineers
INFORMS-SIM: Institute for Operations Research and the Management Sciences: Simulation Society
SIGSIM: ACM Special Interest Group on Simulation and Modeling
SCS: Society for Modeling and Simulation International

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Winter Simulation Conference

Publication History

Published: 13 December 2009

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Research-article

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WSC09

Sponsor:

IIE
INFORMS-SIM
SIGSIM
SCS

WSC09: Winter Simulation Conference

December 13 - 16, 2009

Texas, Austin

Acceptance Rates

WSC '09 Paper Acceptance Rate 137 of 256 submissions, 54%;

Overall Acceptance Rate 3,413 of 5,075 submissions, 67%

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Cited By

O'Kelly MSinha ANamkoong HDuchi JTedrake R(2018)Scalable end-to-end autonomous vehicle testing via rare-event simulationProceedings of the 32nd International Conference on Neural Information Processing Systems10.5555/3327546.3327650(9849-9860)Online publication date: 3-Dec-2018
https://dl.acm.org/doi/10.5555/3327546.3327650
Joseph ABhatnagar S(2018)An online prediction algorithm for reinforcement learning with linear function approximation using cross entropy methodMachine Language10.1007/s10994-018-5727-z107:8-10(1385-1429)Online publication date: 1-Sep-2018
https://dl.acm.org/doi/10.1007/s10994-018-5727-z
Zhang QHu J(2017)A two-time-scale adaptive search algorithm for global optimizationProceedings of the 2017 Winter Simulation Conference10.5555/3242181.3242354(1-11)Online publication date: 3-Dec-2017
https://dl.acm.org/doi/10.5555/3242181.3242354
Joseph ABhatnagar S(2016)Revisiting the cross entropy method with applications in stochastic global optimization and reinforcement learningProceedings of the Twenty-second European Conference on Artificial Intelligence10.3233/978-1-61499-672-9-1026(1026-1034)Online publication date: 29-Aug-2016
https://dl.acm.org/doi/10.3233/978-1-61499-672-9-1026
Hsieh HChang CLiao W(2015)Not Every Bit CountsACM Transactions on Sensor Networks10.1145/270027011:2(1-33)Online publication date: 2-Mar-2015
https://dl.acm.org/doi/10.1145/2700270
Hu JZhou EFan Q(2014)Model-Based Annealing Random Search with Stochastic AveragingACM Transactions on Modeling and Computer Simulation (TOMACS)10.1145/264156524:4(1-23)Online publication date: 18-Nov-2014
https://dl.acm.org/doi/10.1145/2641565
Hu JWang C(2011)Discrete optimization via approximate annealing adaptive search with stochastic averagingProceedings of the Winter Simulation Conference10.5555/2431518.2432020(4206-4216)Online publication date: 11-Dec-2011
https://dl.acm.org/doi/10.5555/2431518.2432020

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