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The Cross-Entropy Method for Continuous Multi-Extremal Optimization

Author

Listed:
  • Dirk P. Kroese

    (The University of Queensland)

  • Sergey Porotsky

    (Optimata Ltd.)

  • Reuven Y. Rubinstein

    (Technion)

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.

Suggested Citation

  • Dirk P. Kroese & Sergey Porotsky & Reuven Y. Rubinstein, 2006. "The Cross-Entropy Method for Continuous Multi-Extremal Optimization," Methodology and Computing in Applied Probability, Springer, vol. 8(3), pages 383-407, September.
    • Handle: RePEc:spr:metcap:v:8:y:2006:i:3:d:10.1007_s11009-006-9753-0
    DOI: 10.1007/s11009-006-9753-0
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    References listed on IDEAS

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    1. L. Margolin, 2005. "On the Convergence of the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 201-214, February.
    2. Reuven Rubinstein, 1999. "The Cross-Entropy Method for Combinatorial and Continuous Optimization," Methodology and Computing in Applied Probability, Springer, vol. 1(2), pages 127-190, September.
    3. Rubinstein, Reuven Y., 1997. "Optimization of computer simulation models with rare events," European Journal of Operational Research, Elsevier, vol. 99(1), pages 89-112, May.
    4. Pieter-Tjerk de Boer & Dirk Kroese & Shie Mannor & Reuven Rubinstein, 2005. "A Tutorial on the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 19-67, February.
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