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Stochastic level-value approximation for quadratic integer convex programming
Authors:Zheng Peng  Dong-hua Wu
Institution:1. Department of Mathematics, Shanghai University, Shanghai 200444, P. R. China; Department of mathematics, Hunan Institute of Science and Technology, Yueyang 414006, Hunan Province, P. R. China
2. Department of Mathematics, Shanghai University, Shanghai 200444, P. R. China
Abstract:We propose a stochastic level value approximation method for a quadratic integer convex minimizing problem in this paper. This method applies an importance sampling technique, and make use of the cross-entropy method to update the sample density functions. We also prove the asymptotic convergence of this algorithm, and re-port some numerical results to illuminate its effectiveness.
Keywords:quadratic integer convex programming  stochastic level value approxima-tion  cross-entropy method  asymptotic convergence
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