Convergence properties of the cross-entropy method for discrete optimization
نویسندگان
چکیده
We present new theoretical convergence results on the Cross-Entropy method for discrete optimization. Our primary contribution is to show that a popular implementation of the Cross-Entropy method converges, and finds an optimal solution with probability arbitrarily close to 1. We also give necessary conditions and sufficient conditions under which an optimal solution is generated eventually with probability 1.
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عنوان ژورنال:
- Oper. Res. Lett.
دوره 35 شماره
صفحات -
تاریخ انتشار 2007