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Simulation optimization using the cross-entropy method with optimal computing budget allocation
2010
ACM Transactions on Modeling and Computer Simulation
We propose to improve the efficiency of simulation optimization by integrating the notion of optimal computing budget allocation into the Cross-Entropy (CE) method, which is a global optimization search approach that iteratively updates a parameterized distribution from which candidate solutions are generated. This article focuses on continuous optimization problems. In the stochastic simulation setting where replications are expensive but noise in the objective function estimate could mislead
doi:10.1145/1667072.1667076
fatcat:ankwlionrbhkxfrow6k3ql6rim