On the convergence of the cross-entropy method

被引：65

作者：

Margolin, L ^{[1
]}

机构：

[1] Technion Israel Inst Technol, Fac Ind Engn & Management, IL-32000 Haifa, Israel

来源：

ANNALS OF OPERATIONS RESEARCH | 2005年 / 134卷 / 01期

关键词：

combinatorial optimization; convergence; cross-entropy;

D O I：

10.1007/s10479-005-5731-0

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

The cross-entropy method is a relatively new method for combinatorial optimization. The idea of this method came from the simulation field and then was successfully applied to different combinatorial optimization problems. The method consists of an iterative stochastic procedure that makes use of the importance sampling technique. In this paper we prove the asymptotical convergence of some modifications of the cross-entropy method.

引用

页码：201 / 214

页数：14