CROSS-ENTROPY

:
( 31)
.
.
.
.
.


1.
2.

.
CROSS-ENTROPY .
1.

3.

1: Cross Entropy .

CROSS-ENTROPY () .

1. 2: () Cross Entropy .
2. () .
3. () .
4. () .
5. () .
6. .

4.
5.

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CROSS-ENTROPY


Cross-Entropy =
Kullback-Leibler divergence = =

= Rare events
= Importance sampling
= Stochastic search
= Sample performance
2012 3-

CROSS-ENTROPY

: .

2012 3-

CROSS-ENTROPY

CROSS-ENTROPY ,
.

,
,
,
,
()
.
Reuven Y. Rubinstein
.
Dirk P. Kroese, Sergey Porotsky .
2012 3-

CROSS-ENTROPY

2012 3-

CROSS-ENTROPY

()
.
CROSS-ENTROPY
:

()
2012 3-

CROSS-ENTROPY

: .

CROSS-ENTROPY

2012 3-

CROSS-ENTROPY

() (1)

()

.

.
2012 3-

CROSS-ENTROPY

 = 0
= 0
.

.
=

2012 3-

CROSS-ENTROPY

(2)
10

 1 , 2 , ,
:
1
=

=1

( )
( )
3
( )

(3) .

.
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CROSS-ENTROPY

11

() () ()

.
CROSS-ENTROPY
CROSS-ENTROPY
Kullback-Leibler -
, ; - - .
2012 3-

CROSS-ENTROPY

12


Kullback-Leibler
:

, = ln

=
2012 3-

() ln

ln

() ln () (4)

CROSS-ENTROPY

13

.
= (; ) .

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CROSS-ENTROPY

14



.
g = (; ) .

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CROSS-ENTROPY

15

 CROSS-ENTROPY
(minimum)
.
max (; ) ln ;

.
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CROSS-ENTROPY

16

1
max

=1

( ; )
( )
ln ( ; ) (5)
( ; )

1 , 2 , , (; )
.

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CROSS-ENTROPY

17

 = (() ) ,
: = *()+
()
= 1
= 0 .

:
105
.
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CROSS-ENTROPY

18

 = 0
= 0 (maximization)
.
CROSSENTROPY .

-
.
.
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19

: .

1:
CROSS-ENTROPY

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CROSS-ENTROPY

20

1. 0 = = , = 1 ( )

2. (; 1 )
1 , 2 , , .

1. - ( ) -
(1) () .
2. (1 ) - = ( +1)
. > -
.
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CROSS-ENTROPY

21

3. 1 , , (5)-

.

= 1 - .

4. < = + 1 2-
. 5- .
5. (; )
1 , , 1
(3)-
-
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CROSS-ENTROPY

22


0 , ,

(0.01 0.1 ) ,
.
N
1 .
= 1000 1 = 100000 .
1,1-

(
) .
2012 3-

CROSS-ENTROPY

23

: .

CROSS-ENTROPY
()

2012 3-

CROSS-ENTROPY

24


. - -

.
(
)
:
() = = () 6
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CROSS-ENTROPY

25


. :



.

-
.
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CROSS-ENTROPY

26

 = (() )
. - - (, )

. -
.

Cross-Entropy
=
. -
- .

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CROSS-ENTROPY

27

: .

2:
() CROSS-ENTROPY

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28

1. :
= t = 1 (
)
2. f(; 1 )

1 , , . -
( )
1 () .
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29

3.

1 , , -
.

max 1

4.

*()+ ln ; (7)
=1

.
, , = + 1 ,
2- .

, 0 ,
, ,
.
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CROSS-ENTROPY

30

 CE
2 :
1. /
-, ../
.
2. Cross Entropy (minimization)
-

/
/

.
2012 3-

CROSS-ENTROPY

31

 1 3- 2
,

( ;)
( ;1 )

(5) - (7) -

2012 3-

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32


.
= + 1 1 (8)
- (7)- 0 1 -
.
2
CE
.
2012 3-

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33


CE

1-
.

( 1

) .
2012 3-

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34

: .

()
2012 3-

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35


:
/combinatorial/
/continuous/
.

: ,
,
.

2012 3-

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36



.


.
= 1 , ,
= (1 , , )

(0, 1).
2012 3-

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37


.
=

, = 1, , . (9)

.
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38



.
.

* +
- 0 1-
.
0 1 .
2012 3-

CROSS-ENTROPY

39

: .

()
2012 3-

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40


. =

.
2
= (1 , , )
.
-

.
2012 3-

CROSS-ENTROPY

41

.


0 .

, -
.
2012 3-

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42

4.5
4
3.5

3
2.5

Column1

2
1.5

1
0.5
0

0
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0.5

1.5

CROSS-ENTROPY

2.5

3
43

: .

()
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44

X

.
() 0,

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= 1, , (10)

CROSS-ENTROPY

45

 2 .
-: ,
,

.
2-
-
. ,

.

.

2012 3-

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46

2 penalty .
.
penalty. penalty
.

() =

(11)
=1

() = max , 0 (12)
> 0 -
.
2012 3-

penalty-

CROSS-ENTROPY

47

: .

()
2012 3-

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48

. ,
.
. (6) -
.
= () ,
() .
2 ()-
.

.
2012 3-

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49

: .

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50

 1, 2, n n
.
,
.


.


.
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51


(+) .
() . .
(1, , )
.

= 4 (1, 3, 2, 4)
1 3 2 4 1 .

1 = 1
= (1 , 2 , , ) .
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52

min () = min*

,+1 + ,1 +
=1

: = ( 1)!
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53

 (minimization) CROSS-ENTROPY
.
.

.
= * 1 , , 1 = 1,
= 2, , +
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CROSS-ENTROPY

1, , ,

54

1. (1) = 1 = 1 . = 1 .
2. (+1) () () 0

. +1 ()
.
3. = 1 , = + 1 2-
.

=
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=1 *( )+ * +

=1 *( )+
CROSS-ENTROPY

55

: .

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56

Cross-Entropy
, /
.
, , ,
.


.


.
2012 3-

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57


.
,
.

.


.
2012 3-

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58


Cross-Entropy Method, Dirk P. Kroese.
A Tutorial on the Cross-Entropy Method, Pieter-Tjerk de
Boer, Dirk P. Kroese, Shie Mannor, Reuven Y. Rubenstein
CEmethod.org
iew3.technion.ac.il/CE/

2004, 2007,
2010,
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59