Convergence properties of the cross-entropy method for discrete optimization

We present new theoretical convergence results on the Cross-Entropy method for discrete optimization. Our primary contribution is to show that a popular implementation of the Cross-Entropy method converges, and finds the optimal solution

• Type: Journal
• Year: 2007
• Where: ORL
• Authors: Andre Costa, Owen Dafydd Jones, Dirk P. Kroese
• Keywords: Cross-Entropy Method, Discrete Optimization, ORL 2007, Primary Contribution