Professor Dirk Kroese

Professor

Mathematics
Faculty of Science
kroese@maths.uq.edu.au
+61 7 336 53287

Overview

Dirk Kroese's research interests are in: Monte Carlo methods, rare-event simulation, the cross-entropy method, applied probability, and randomised optimisation.

Dirk Kroese is a professor of Mathematics and Statistics at the School of Mathematics and Physics of the University of Queensland. He has held teaching and research positions at The University of Texas at Austin, Princeton University, the University of Twente, the University of Melbourne, and the University of Adelaide. His research interests include Monte Carlo methods, adaptive importance sampling, randomized optimization, and rare-event simulation. He has over 90 peer-reviewed publications, including four monographs: Simulation and the Monte Carlo Method, 2nd Edition, 2008, John Wiley & Sons (with R.Y. Rubinstein), The Cross-Entropy Method, Springer-Verlag, 2004, (with R.Y. Rubinstein), the Handbook of Monte Carlo Methods, John Wiley & Sons, 2011 (with T. Taimre and Z.I. Botev, 772 pages), and Statistical Modeling and Computation, 2014 (with J.C.C. Chan).

Research Interests

  • The Cross-Entropy Method
    The Cross-Entropy (CE) method has been described as �one of the most significant developments in randomised optimisation and simulation in recent years.� In a nutshell, the CE methods involves an iterative procedure where each iteration can be broken down into two phases: (a) generate a randon data sample (trajectories, vectors, etc.) according to a specific mechanism; (b) update the parameters of the randdom mechanism based on this data in order to produce a �better� sample in the next iteration. I am one of the pioneers of the CE method. The simplicity and versatility of the method is explained in my book with R.Y. Rubinstein: The Cross Entropy Method: A Unified Approach to Combinatorial Optimisation. Monte-Carlo Simulation, and Machine Learning, Springer Verlag, 2004. The CE method has been applicatied to problems in reliability theory, buffer allocation, telecommunication systems, neural computation, control and navigation, DNA sequence alignment, scheduling and Max-Cut and bipartition problems.
  • Operator Analytic Methods in Telecommunication Systems
    Many systems in information technology and telecommunications evolve under conditions of uncertainty. In this context, mathematical modelling is an essential component of the design process. This ARC Discovery Project is focused on providing techniques for analysing operanalytic models, which can be used to study many of the above-mentioned systems. The project aims to deliver new theory and efficient numerical algorithms that will make possible practical analysis of operator-analytic models.

Qualifications

  • PhD (Mathematical Sciences), Twente
  • Master of Science (Mathematical Sciences), Twente
  • Bachelor of Science (Mathematical Sciences), Twente

Publications

  • Vaisman, Radislav, Roughan, Matthew and Kroese, Dirk P. (2017) The Multilevel Splitting algorithm for graph colouring with application to the Potts model. Philosophical Magazine, 97 19: 1646-1673. doi:10.1080/14786435.2017.1312023

  • Benham, Tim, Duan, Qibin, Kroese, Dirk P. and Liquet, Benoît (2017) CEoptim: cross-entropy R package for optimization. Journal of Statistical Software, 76 1: 1-29. doi:10.18637/jss.v076.i08

  • Wang, Erli, Kurniawati, Hanna and Kroese, Dirk P. (2017). CEMAB: a cross-entropy-based method for large-scale multi-armed bandits. In: ACALCI 2017 Australasian Conference on Artificial Life and Computational Intelligence. ACALCI 2017 Australasian Conference on Artificial Life and Computational Intelligence, Geelong, VIC, Australia, (353-365). 31 January – 2 February 2017. doi:10.1007/978-3-319-51691-2_30

View all Publications

Supervision

  • Doctor Philosophy

  • Doctor Philosophy

  • Doctor Philosophy

View all Supervision

Publications

Book

Book Chapter

  • Kroese, Dirk P., Rubinstein, Reuven Y., Cohen, Izack, Porotsky, Sergey and Taimre, Thomas (2013). Cross-entropy method. In Saul I. Gass and Michael C. Fu (Ed.), Encyclopedia of operations research and management science 3rd ed. (pp. 326-333) New York, United States: Springer. doi:10.1007/978-1-4419-1153-7_131

  • Brereton, Tim J., Kroese, Dirk P. and Chan, Joshua C. (2013). Monte Carlo methods for portfolio credit risk. In Daniel Rösch and Harald Scheule (Ed.), Credit securitisations and derivatives: challenges for the global markets (pp. 127-152) Chicester, United Kingdom: John Wiley & Sons.

  • Kroese, Dirk P., Rubinstein, Reuven Y. and Glynn, Peter W. (2013). The cross-entropy method for estimation. In Venu Govindaraju and C. R. Rao (Ed.), Machine learning: theory and applications (pp. 19-34) Dordrecht, Netherlands: Elsevier. doi:10.1016/B978-0-444-53859-8.00002-3

  • Botev, Zdravko, I., Kroese, Dirk P., Rubinstein, Reuven Y. and L'Ecuyer, Pierre (2013). The cross-entropy method for optimization. In Venu Govindaraju and C. R. Rao (Ed.), Machine learning: theory and applications (pp. 35-59) Dordrecht, Netherlands: Elsevier. doi:10.1016/B978-0-444-53859-8.00003-5

  • Kroese, Dirk P. (2010). Cross-entropy method. In Encyclopedia of operations research and management sciences 3rd ed. (pp. 1-12) New York, United States: Springer-Verlag. doi:10.1002/9780470400531.eorms0210

  • Kroese, D. P. and Hui, Kin-Ping (2007). Applications of the cross-entropy method in reliability. In Gregory Levitin (Ed.), Computational intelligence in reliability engineering. New metaheuristics, neural and fuzzy techniques in reliability (pp. 37-82) Berlin, Germany: Springer-Verlag. doi:10.1007/978-3-540-37372-8_3

Journal Article

Conference Publication

  • Wang, Erli, Kurniawati, Hanna and Kroese, Dirk P. (2017). CEMAB: a cross-entropy-based method for large-scale multi-armed bandits. In: ACALCI 2017 Australasian Conference on Artificial Life and Computational Intelligence. ACALCI 2017 Australasian Conference on Artificial Life and Computational Intelligence, Geelong, VIC, Australia, (353-365). 31 January – 2 February 2017. doi:10.1007/978-3-319-51691-2_30

  • Grant, Morgan R. and Kroese, Dirk P. (2017). Efficient estimation of tail probabilities of the typical distance in preferential attachment models. In: Proceedings - Winter Simulation Conference. 2016 Winter Simulation Conference, WSC 2016, Arlington, VA, United States, (338-346). 11 - 14 December 2016. doi:10.1109/WSC.2016.7822101

  • Shah, Rohan, Hirsch, Christian, Kroese, Dirk P. and Schmidt, Volker (2015). Rare event probability estimation for connectivity of large random graphs. In: Andreas Tolk, SimIS, Inc., Levent Yilmaz, Auburn University, Saikou Y. Diallo, Old Dominion University, Ilya O. Ryzhov and University of Maryland, Proceedings of the 2014 Winter Simulation Conference. Winter Simulation Conference, WSC 2014, Savannah, GA, United States, (510-521). 7-10 December 2014. doi:10.1109/WSC.2014.7019916

  • Brereton, Tim J., Kroese, Dirk P., Stenzel, Ole, Schmidt, Volker and Baumeier, Bjorn (2012). Efficient simulation of charge transport in deep-trap media. In: C. Laroque, J. Himmelspach, R. Pasupathy, O. Rose and A. M. Uhrmacher, Proceedings of the 2012 Winter Simulation Conference. Winter Simulation Conference, Berlin, Germany, (1-12). 9-12 December 2012. doi:10.1109/WSC.2012.6465003

  • Brereton, Tim J., Chan, Joshua C. C. and Kroese, Dirk P. (2011). Fitting mixture importance sampling distributions via improved cross-entropy. In: Proceedings of the 2011 Winter Simulation Conference. 2011 Winter Simulation Conference, Phoenix, AZ, United States, (422-428). 11-14 December 2011. doi:10.1109/WSC.2011.6147769

  • Stacey, Karl W. and Kroese, Dirk P. (2011). Greedy servers on a torus. In: Proceedings of the 2011 Winter Simulation Conference. 2011 Winter Simulation Conference, Phoenix, AZ, United States, (369-380). 11-14 December 2011. doi:10.1109/WSC.2011.6147764

  • Kothari, Rishabh P. and Kroese, Dirk P. (2009). Optimal generation expansion planning via the cross-entropy method. In: M. D. Rossetti, R. R. Hill, B. Johansson, A. Dunkin and R. G. Ingalls, Proceedings of the 2009 Winter Simulation Conference. 2009 Winter Simulation Conference (ERA Rank B), Austin, Texas, (1482-1491). 13-16 December 2009. doi:10.1109/WSC.2009.5429296

  • Chan, J. C. C. and Kroese, D. P. (2008). Randomized methods for solving the Winner Determination Problem in combinatorial auctions. In: S. Mason, R. Hill, O. Rose and L. Mounch, Simulation Conference, 2008. WSC 2008. Winter. Winter Simulation Conference 2008 (WSC 2008), Miami, United States, (1344-1349). 7-10 December, 2008. doi:10.1109/WSC.2008.4736208

  • Keith, J. M., Sofronov, G. Y. and Kroese, D. P. (2008). The Generalized Gibbs Sampler and the Neighborhood Sampler. In: Keller, A., Heinrich, S. and Niederreiter, H., Proceedings of the 7th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing. 7th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Ulm, Germany, (537-547). 14-18 August, 2006. doi:10.1007/978-3-540-74496-2_31

  • Sofronov, G. Y., Evans, G. E., Keith, J. M. and Kroese, D. P. (2007). Identifying change-points in biological sequences via sequential importance sampling. In: L.. Oxley and D. Kulasiri, Proceedings of the 17th Biennial Congress on Modelling and Simulation. 17th Biennial Congress on Modelling and Simulation (MODSIM07), Christchurch, New Zealand, (2917-2923). 10-13 December, 2007.

  • Sani, A. and Kroese, D. P. (2007). Optimal epidemic intervention of HIV spread using the cross-entropy method. In: Oxley, L. and Kulasiri, D., Proceedings of the 17th Biennial Congress on Modelling and Simulation. 17th Biennial Congress on Modelling and Simulation (MODSIM07), Christchurch, New Zealand, (448-454). 10-13 December, 2007.

  • Evans, G. E., Keith, J. M. and Kroese, D. P. (2007). Parallel cross-entropy optimization. In: Henderson, S. G., Biller, B., Hsieh, M. H. and et al., Proceedings of the 2007 Winter Simulation Conference. 2007 Winter Simulation Conference, Washington, (2196-2202). 9-12 December, 2007. doi:10.1145/1360000/1351930/p2196-evans.pdf?key1=1351930

  • Botev, Z. I., Kroese, D. P. and Taimre, T. (2006). Generalized cross-entropy methods for rare events and optimization. In: 6th International Workshop on Rare Event Simulation (RESIM 2006), Bamberg, Germany, (1-30). 8-10 October, 2006.

  • Nariai, Sho, Hui, Kin-Ping and Kroese, Dirk P. (2005). Designing an optimal network using the cross-entropy method. In: Marcus Gallagher and James Hogan, Intelligent Data Engineering and Automated Learning - IDEAL 2005 6th International Conference. Sixth International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2005), Brisbane, Australia, (228-233). 6-8 July 2005. doi:10.1007/11508069_30

  • Nariai, S. and Kroese, D. P. (2005). On the Design of Multi-type Networks via the Cross-Entropy Method. In: C Clemente, C Calderaro and C Fertini, Fifth International Workshop on the Design of Reliable Communication Networks. DRCN 2005, Naples, Italy, (109-114). 16-19 October 2005.

  • Botev, Z. I. and Kroese, D. P. (2004). Global Likelihood Optimization Via The Cross-Entropy Method With An Application To Mixture Models. In: Ingalls, R. G., Rossetti, M. D., Smith, J. S. and Peters, B. A., Proceedings of the 2004 Winter Simulation Conference. 2004 Winter Simulation Conference, Washington, USA, (529-535). 5-8 December, 2004.

  • Hui, K.-P., Bean, N.G., Kraetzl, M. and Kroese, D. P. (2003). Network reliability estimation using the tree cut and merge algorithm with importance sampling. In: M. MacGregor, Proceedings of the Fourth International Workshop on the Design of Reliable Communication Networks (DRCN 2003). DRCN2003, Banff, Canada, (254-262). 19-22 October 2003. doi:10.1109/DRCN.2003.1275364

  • de Boer, P.T., Kroese, D. P. and Rubinstein, R.Y. (2002). Estimating buffer overflows in three stages using cross-entropy. In: E. Yucesan, C.H. Chen, J.L. Snowdon and J.M. Charnes, Proceedings of the 2002 Winter Simulation Conference. 35th Winter Simulation Conference (ERA Rank B), San Diego, USA, (301-309). 3-11 December 2002. doi:10.1109/WSC.2002.1172899

  • Keith, Jonathan and Kroese, Dirk P. (2002). Sequence alignment by rare event simulation. In: E. Yücesan, C.-H. Chen, J. L. Snowdon and J. M. Charnes, Proceedings of the 2002 Winter Simulation Conference. 35th 2002 Winter Simulation Conference (ERA Rank B), San Diego, CA, U.S.A., (320-327). 8-11 December 2002. doi:10.1109/WSC.2002.1172901

  • Garvels, M. J. J . and Kroese, D. P. (1998). A comparison of RESTART implementations. In: Proceedings of the Winter Simulation Conference. Winter Simulation Conference, Washington, DC, United States, (601-609). 13-16 Dec 1998.

  • Kroese, DP and Nicola, VF (1998). Efficient simulation of backlogs in fluid flow lines. In: Aeu-International Journal of Electronics and Communications. Workshop on Rare Event Simulation, Aachen Germany, (165-171). Aug 28-29, 1997.

Edited Outputs

Other Outputs

Grants (Administered at UQ)

PhD and MPhil Supervision

Current Supervision

  • Doctor Philosophy — Principal Advisor

    Other advisors:

  • Doctor Philosophy — Principal Advisor

    Other advisors:

  • Doctor Philosophy — Principal Advisor

    Other advisors:

  • Doctor Philosophy — Principal Advisor

    Other advisors:

  • Doctor Philosophy — Joint Principal Advisor

Completed Supervision