The Differentiable Cross-Entropy Method

Part of Proceedings of the International Conference on Machine Learning 1 pre-proceedings (ICML 2020)

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Brandon Amos, Denis Yarats


<p>We study the Cross-Entropy Method (CEM) for the non-convex optimization of a continuous and parameterized objective function and introduce a differentiable variant that enables us to differentiate the output of CEM with respect to the objective function's parameters. In the machine learning setting this brings CEM inside of the end-to-end learning pipeline where this has otherwise been impossible. We show applications in a synthetic energy-based structured prediction task and in non-convex continuous control. In the control setting we show how to embed optimal action sequences into a lower-dimensional space. This enables us to use policy optimization to fine-tune modeling components by differentiating through the CEM-based controller.</p>