The Cross-Entropy Method

The cross-entropy (CE) method is one of the most significant developments in randomised optimisation and simulation in recent years. This book explains in detai... » 

The cross-entropy (CE) method is one of the most significant developments in randomised optimisation and simulation in recent years. This book explains in detail how and why the CE method works. The simplicity and versatility of the method is illustrated via a diverse collection of optimisation and estimation problems. «