Cross-entropy method: Difference between revisions

Revision as of 20:02, 31 January 2011

Revision as of 16:11, 12 February 2011

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parametric family are the sample mean and sample variance corresponding to the ''elite samples'', which are those samples that have objective function value <math>\geq\gamma</math>.

The worst of the elite samples is then used as the level parameter for the next iteration.

This yields the following randomized algorithm forthat thishappens problemto coincide with the so-called Estimation of Multivariate Normal Algorithm (EMNA), an [[estimation of distribution algorithm]].

===Pseudo-code===