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The Cross-Entropy Method for Continuous Multi-Extremal Optimization |
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| Authors: | Dirk P. Kroese Sergey Porotsky Reuven Y. Rubinstein |
| Affiliation: | (1) Department of Mathematics, The University of Queensland, Brisbane, 4072, Australia;(2) Optimata Ltd., 11 Tuval St., Ramat Gan, 52522, Israel;(3) Faculty of Industrial Engineering and Management, Technion, Haifa, Israel |
| 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. |
| Keywords: | Cross-entropy Continuous optimization Multi-extremal objective function Dynamic smoothing Constrained optimization Nonlinear constraints Acceptance– rejection Penalty function |
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