The Cross-Entropy Method Optimizes for Quantiles
نویسندگان
چکیده
Cross-entropy optimization (CE) has proven to be a powerful tool for search in control environments. In the basic scheme, a distribution over proposed solutions is repeatedly adapted by evaluating a sample of solutions and refocusing the distribution on a percentage of those with the highest scores. We show that, in the kind of noisy evaluation environments that are common in decisionmaking domains, this percentage-based refocusing does not optimize the expected utility of solutions, but instead a quantile metric. We provide a variant of CE (Proportional CE) that effectively optimizes the expected value. We show using variants of established noisy environments that Proportional CE can be used in place of CE and can improve solution quality.
منابع مشابه
Statistical Estimation Methods in Hydrological Engineering
In designing civil engineering structures use is made of probabilistic calculation methods. Stress and load parameters are described by statistical distribution functions. The parameters of these distribution functions can be estimated by various methods. An extensive comparison of these different estimation methods is given in this paper. The main point of interest is the behaviour of each met...
متن کاملMinimum Time Route-Planning for searching lost targets under uncertain environments using cross entropy optimization for UAVs
This paper formulates and solves the Minimum Time Searching Problem to find a lost target under uncertainty. Given a world where some information about the target is known but uncertain (i.e. location and dynamics), we provide a route planning algorithm that optimizes the unmanned air vehicle actions to find the target in a minimum time. The idea is to accumulate the higher probabilities as soo...
متن کاملRecovering Matrices of Economic Flows from Incomplete Data and a Composite Prior
In several socioeconomic applications, matrices containing information on flows-trade, income or migration flows, for example–are usually not constructed from direct observation but are rather estimated, since the compilation of the information required is often extremely expensive and time-consuming. The estimation process takes as point of departure another matrix which is adjusted until it o...
متن کاملThe Effect of Education on Labor Wages in Iranian Urban Households Based on Quantile Regression
The purpose of this article is to examine the impact of education and work experience on earning. For this purpose, Mincer’s wage equation, quantile regression estimation method and the microdata from Iranian survey of household income and expenses in 2016 have been used. Estimation results show that education returns are positive in all income quantiles, and education in lower-income quantiles...
متن کاملA Cross-Entropy Method that Optimizes Partially Decomposable Problems: A New Way to Interpret NMR Spectra
Some real-world problems are partially decomposable, in that they can be decomposed into a set of coupled subproblems, that are each relatively easy to solve. However, when these sub-problem share some common variables, it is not sufficient to simply solve each sub-problem in isolation. We develop a technology for such problems, and use it to address the challenge of finding the concentrations ...
متن کامل