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The Cross-Entropy Method for Continuous Multi-Extremal Optimization

Dirk P. Kroese, Sergey Porotsky and Reuven Y. Rubinstein ()
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Dirk P. Kroese: The University of Queensland
Sergey Porotsky: Optimata Ltd.
Reuven Y. Rubinstein: Technion

Methodology and Computing in Applied Probability, 2006, vol. 8, issue 3, 383-407

Abstract: Abstract 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.

Keywords: Cross-entropy; Continuous optimization; Multi-extremal objective function; Dynamic smoothing; Constrained optimization; Nonlinear constraints; Acceptance–rejection; Penalty function; Primary 65C05; 65K99; Secondary 94A17 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s11009-006-9753-0

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