The cross-entropy method for continuous multi-extremal optimization

Kroese, Dirk P., Porotsky, Sergey and Rubinstein, Reuven Y. (2006) The cross-entropy method for continuous multi-extremal optimization. Methodology and Computing In Applied Probability, 8 3: 383-407. doi:10.1007/s11009-006-9753-0

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Author Kroese, Dirk P.
Porotsky, Sergey
Rubinstein, Reuven Y.
Title The cross-entropy method for continuous multi-extremal optimization
Journal name Methodology and Computing In Applied Probability   Check publisher's open access policy
ISSN 1387-5841
Publication date 2006
Sub-type Article (original research)
DOI 10.1007/s11009-006-9753-0
Open Access Status File (Author Post-print)
Volume 8
Issue 3
Start page 383
End page 407
Total pages 25
Editor Joseph Glaz
Place of publication United States
Publisher Springer New York LLC
Collection year 2006
Language eng
Subject 230202 Stochastic Analysis and Modelling
230204 Applied Statistics
230118 Optimisation
780101 Mathematical sciences
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.
Keyword Cross-entropy
Continuous Optimization
Multi-extremal Objective Function
Dynamic Smoothing
Constrained Optimization
Nonlinear Constraints
Acceptance-rejection
Penalty Function
Statistics & Probability
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status UQ

 
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Created: Wed, 15 Aug 2007, 09:48:05 EST