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We reconsider the non-equilibrium dynamics of closed quantum systems. In particular we focus on the thermalization of integrable systems. Here we show how the generalized Gibbs Ensemble (GGE) can be constructed as the best approximation to the time dependent density matrix. Our procedure allows for a systematic construction of the GGE by a constrained minimization of the distance between the latter and the true state. Moreover, we show that the entropy of the GGE is a direct measure for the quality of the approximation. We apply our method to a quenched hard core bose gas. In contrast to the standard GGE, our correlated GGE properly describes the higher order correlation functions.

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