Semi-Iterative Minimum Cross-Entropy Algorithms for Rare-Events , Counting , Combinatorial and Integer Programming

@inproceedings{Rubinstein2007SemiIterativeMC,
  title={Semi-Iterative Minimum Cross-Entropy Algorithms for Rare-Events , Counting , Combinatorial and Integer Programming},
  author={Reuven Rubinstein},
  year={2007}
}
We present a new generic minimum cross-entropy method, called the semiiterative MinxEnt, or simply SME, for rare-event probability estimation, counting, and approximation of the optimal solutions of a broad class of NP-hard linear integer and combinatorial optimization problems (COP’s). The main idea of our approach is to associate with each original problem an auxiliary single-constrained convex MinxEnt program of a special type, which has a closed-form solution. We prove that the optimal pdf… CONTINUE READING
Highly Cited
This paper has 35 citations. REVIEW CITATIONS

Citations

Publications citing this paper.

References

Publications referenced by this paper.
Showing 1-10 of 20 references

Stochastic Programming, Handbook in Operations Research and Management Science, edited by Ruszczynski, A

  • A. Shapiro
  • 2003
Highly Influential
3 Excerpts

Entropy Optimization with Applications

  • Kapur J.N, H. K. Kesavan
  • 1992
Highly Influential
3 Excerpts

Constrained Satisfaction Networks in Physics and Computations: Probabilistic Approaches

  • M Mezard., M. Momtanari
  • 2006