On the Convergence of the Cross-Entropy Method

L. Margolin ()

Annals of Operations Research, 2005, vol. 134, issue 1, 214 pages

Abstract: 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. Copyright Springer Science + Business Media, Inc. 2005

Keywords: combinatorial optimization; convergence; cross-entropy (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10479-005-5731-0

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