TY - GEN
T1 - On the performance of the cross-entropy method
AU - Hu, Jiaqiao
AU - Hu, Ping
PY - 2009
Y1 - 2009
N2 - 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.
AB - 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.
UR - https://www.scopus.com/pages/publications/77951585470
U2 - 10.1109/WSC.2009.5429357
DO - 10.1109/WSC.2009.5429357
M3 - Conference contribution
AN - SCOPUS:77951585470
SN - 9781424457700
T3 - Proceedings - Winter Simulation Conference
SP - 459
EP - 468
BT - Proceedings of the 2009 Winter Simulation Conference, WSC 2009
T2 - 2009 Winter Simulation Conference, WSC 2009
Y2 - 13 December 2009 through 16 December 2009
ER -