DocumentCode
1817522
Title
On the performance of the Cross-Entropy method
Author
Hu, Jiaqiao ; Hu, Ping
Author_Institution
Dept. of Appl. Math. & Stat., State Univ. of New York, Stony Brook, NY, USA
fYear
2009
fDate
13-16 Dec. 2009
Firstpage
459
Lastpage
468
Abstract
We study the recently introduced Cross-Entropy (CE) method for optimization, an iterative random sampling approach that is based on sampling and updating an underlying distribution function over the set of feasible solutions. In particular, we propose a systematic approach to investigate the convergence and asymptotic convergence rate for the CE method through a novel connection with the well-known stochastic approximation procedures. Extensions of the approach to stochastic optimization will also be discussed.
Keywords
approximation theory; convergence; entropy; sampling methods; stochastic programming; asymptotic convergence rate; cross entropy method; distribution function; iterative random sampling approach; stochastic approximation procedures; stochastic optimization; Convergence; Mathematics; Optimization methods; Partitioning algorithms; Probability distribution; Sampling methods; Simulated annealing; Stochastic processes; Stochastic resonance; Stochastic systems;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference (WSC), Proceedings of the 2009 Winter
Conference_Location
Austin, TX
Print_ISBN
978-1-4244-5770-0
Type
conf
DOI
10.1109/WSC.2009.5429357
Filename
5429357
Link To Document