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.
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Margolin, L. On the Convergence of the Cross-Entropy Method. Ann Oper Res 134, 201–214 (2005). https://doi.org/10.1007/s10479-005-5731-0
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DOI: https://doi.org/10.1007/s10479-005-5731-0