A tutorial about the CE method is available in PDF format here (800 kB) (alternatively in PostScript format (2200 kB)). It will be updated every now and then; the presently available version is dated November 24, 2003.

The table of contents of the tutorial is as follows:

  • Introduction
  • Methodology: Two Examples
    • A Rare Event Simulation Example
    • A Combinatorial Optimisation Example
  • The Main Algorithm(s)
    • The CE Method for Rare Event Simulation
    • The CE Method for Combinatorial Optimisation
  • Various applications
    • The Max-Cut problem
    • The Travelling Salesman Problem
  • Modifications
    • Alternative Performance Functions
    • Fully Adaptive CE Algorithm
  • Further Developments
    • Vector Quantization and Clustering Analysis
    • Markovian Decision Process
  • Discussion and Future Directions
Iteration example