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The Cross-Entropy Method for Continuous Multi-Extremal Optimization

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.

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Correspondence to Reuven Y. Rubinstein.

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Kroese, D.P., Porotsky, S. & Rubinstein, R.Y. The Cross-Entropy Method for Continuous Multi-Extremal Optimization. Methodol Comput Appl Probab 8, 383–407 (2006). https://doi.org/10.1007/s11009-006-9753-0

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Keywords

  • Cross-entropy
  • Continuous optimization
  • Multi-extremal objective function
  • Dynamic smoothing
  • Constrained optimization
  • Nonlinear constraints
  • Acceptance–rejection
  • Penalty function

AMS 2000 Subject Classification

  • Primary 65C05, 65K99
  • Secondary 94A17