Stochastic discrete optimization
SIAM Journal on Control and Optimization
A method for discrete stochastic optimization
Management Science
Genetic Algorithms in Search, Optimization and Machine Learning
Genetic Algorithms in Search, Optimization and Machine Learning
The Sample Average Approximation Method for Stochastic Discrete Optimization
SIAM Journal on Optimization
Global Stochastic Optimization with Low-Dispersion Point Sets
Operations Research
Nested Partitions Method for Global Optimization
Operations Research
The Cross Entropy Method: A Unified Approach To Combinatorial Optimization, Monte-carlo Simulation (Information Science and Statistics)
Discrete Optimization via Simulation Using COMPASS
Operations Research
A Model Reference Adaptive Search Method for Global Optimization
Operations Research
Convergence properties of the cross-entropy method for discrete optimization
Operations Research Letters
International Journal of Robotics Research
Discrete optimization via approximate annealing adaptive search with stochastic averaging
Proceedings of the Winter Simulation Conference
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We study the recently introduced Cross-Entropy (CE) method for optimization, an iterative random sampling approach that is based on sampling and updating an underlying distribution function over the set of feasible solutions. In particular, we propose a systematic approach to investigate the convergence and asymptotic convergence rate for the CE method through a novel connection with the well-known stochastic approximation procedures. Extensions of the approach to stochastic optimization will also be discussed.