Article ID Journal Published Year Pages File Type
1142990 Operations Research Letters 2007 8 Pages PDF
Abstract

We present new theoretical convergence results on the cross-entropy (CE) method for discrete optimization. We show that a popular implementation of the method converges, and finds an optimal solution with probability arbitrarily close to 1. We also give conditions under which an optimal solution is generated eventually with probability 1.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Preview
Convergence properties of the cross-entropy method for discrete optimization
Authors
, , ,