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Convergence properties of the cross-entropy method for discrete optimization |
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| Authors: | Andre Costa Owen Dafydd Jones |
| Affiliation: | a Centre of Excellence for Mathematics and Statistics of Complex Systems, University of Melbourne, 3010, Australia b Department of Mathematics and Statistics, University of Melbourne, 3010, Australia c Department of Mathematics, University of Queensland, 4072, Australia |
| Abstract: | We present new theoretical convergence results on the cross-entropy (CE) method for discrete optimization. We show that a popular implementation of the method converges, and finds an optimal solution with probability arbitrarily close to 1. We also give conditions under which an optimal solution is generated eventually with probability 1. |
| Keywords: | Cross-entropy method Discrete optimization Stochastic search |
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