Cross-entropy method: Difference between revisions

Revision as of 13:02, 1 April 2019

Revision as of 12:50, 27 November 2019

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===Pseudo-code===

// Initialize parameters

mu := -6

sigma2 := 100

t := 0

maxits := 100

N := 100

Ne := 10

// While maxits not exceeded and not converged

'''while''' t < maxits and sigma2 > epsilon

// Obtain N samples from current sampling distribution

X := SampleGaussian(mu, sigma2, N)

// Evaluate objective function at sampled points

S := exp(-(X - 2) ^ 2) + 0.8 exp(-(X + 2) ^ 2)

// Sort X by objective function values in descending order

X := sort(X, S)

// Update parameters of sampling distribution

mu := mean(X(1:Ne))

sigma2 := var(X(1:Ne))

t := t + 1

// Return mean of final sampling distribution as solution

'''return''' mu