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On the Convergence of the Cross-Entropy Method

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  • L. Margolin

Abstract

The cross-entropy method is a relatively new method for combinatorial optimization. The idea of this method came from the simulation field and then was successfully applied to different combinatorial optimization problems. The method consists of an iterative stochastic procedure that makes use of the importance sampling technique. In this paper we prove the asymptotical convergence of some modifications of the cross-entropy method. Copyright Springer Science + Business Media, Inc. 2005

Suggested Citation

  • L. Margolin, 2005. "On the Convergence of the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 201-214, February.
    • Handle: RePEc:spr:annopr:v:134:y:2005:i:1:p:201-214:10.1007/s10479-005-5731-0
    DOI: 10.1007/s10479-005-5731-0
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    References listed on IDEAS

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    1. Rubinstein, Reuven Y., 1997. "Optimization of computer simulation models with rare events," European Journal of Operational Research, Elsevier, vol. 99(1), pages 89-112, May.
    2. Reuven Rubinstein, 1999. "The Cross-Entropy Method for Combinatorial and Continuous Optimization," Methodology and Computing in Applied Probability, Springer, vol. 1(2), pages 127-190, September.
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    Cited by:

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    2. Nguyen, Hoa T.M. & Chow, Andy H.F. & Ying, Cheng-shuo, 2021. "Pareto routing and scheduling of dynamic urban rail transit services with multi-objective cross entropy method," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 156(C).
    3. Ali Eshragh & Jerzy Filar & Michael Haythorpe, 2011. "A hybrid simulation-optimization algorithm for the Hamiltonian cycle problem," Annals of Operations Research, Springer, vol. 189(1), pages 103-125, September.
    4. Shili Lin & Jie Ding, 2009. "Integration of Ranked Lists via Cross Entropy Monte Carlo with Applications to mRNA and microRNA Studies," Biometrics, The International Biometric Society, vol. 65(1), pages 9-18, March.
    5. Dirk P. Kroese & Sergey Porotsky & Reuven Y. Rubinstein, 2006. "The Cross-Entropy Method for Continuous Multi-Extremal Optimization," Methodology and Computing in Applied Probability, Springer, vol. 8(3), pages 383-407, September.
    6. Zhengsong Lin & Yuting Wang & Xinyue Ye & Yuxi Wan & Tianjun Lu & Yu Han, 2022. "Effects of Low-Carbon Visualizations in Landscape Design Based on Virtual Eye-Movement Behavior Preference," Land, MDPI, vol. 11(6), pages 1-17, May.

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