Cross-entropy method: Difference between revisions

Revision as of 14:45, 22 April 2020

Revision as of 04:02, 3 July 2020

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===Pseudocode===

''// Initialize parameters''

μ := −6

sigma2σ2 := 100

t := 0

maxits := 100

N := 100

Ne := 10

''// While maxits not exceeded and not converged''

'''while''' t < maxits '''and''' sigma2&sigma;2 > epsilon '''do'''

''// Obtain N samples from current sampling distribution''

X := SampleGaussian(&mu;, sigma2&sigma;2, 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&sigma;2 := var(X(1:Ne))

t := t + 1

''// Return mean of final sampling distribution as solution''

'''return''' mu