The cross-entropy method for continuous multi-extremal optimization

被引：203

作者：

Kroese, Dirk P.

Porotsky, Sergey

Rubinstein, Reuven Y. ^{[1
]}

机构：

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

[2] Optimata Ltd, IL-52522 Ramat Gan, Israel

[3] Univ Queensland, Dept Math, Brisbane, Qld 4072, Australia

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2006年 / 8卷 / 03期

关键词：

cross-entropy; continuous optimization; multi-extremal objective function; dynamic smoothing; constrained optimization; nonlinear constraints; acceptance-rejection; penalty function;

D O I：

10.1007/s11009-006-9753-0

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In recent years, the cross-entropy method has been successfully applied to a wide range of discrete optimization tasks. In this paper we consider the cross-entropy method in the context of continuous optimization. We demonstrate the effectiveness of the cross-entropy method for solving difficult continuous multi-extremal optimization problems, including those with non-linear constraints.

引用

页码：383 / 407

页数：25

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