Stochastic level-value approximation for quadratic integer convex programming  

作　　者：彭拯 邬冬华 

机构地区：[1]Department of Mathematics,Shanghai University,Shanghai 200444,P.R.China

出　　处：《Applied Mathematics and Mechanics(English Edition)》2008年第6期801-809,共9页应用数学和力学（英文版）

基　　金：Project supported by the National Natural Science Foundation of China (No.10671117);Shanghai Leading Academic Discipline Project (No.J050101);the Youth Science Foundation of Hunan Education Department of China (No.06B037)

摘　　要：We propose a stochastic level value approximation method for a quadratic integer convex minimizing problem in this paper. This method applies an importance sampling technique, and make use of the cross-entropy method to update the sample density functions. We also prove the asymptotic convergence of this algorithm, and report some numerical results to illuminate its effectiveness.We propose a stochastic level value approximation method for a quadratic integer convex minimizing problem in this paper. This method applies an importance sampling technique, and make use of the cross-entropy method to update the sample density functions. We also prove the asymptotic convergence of this algorithm, and report some numerical results to illuminate its effectiveness.

关 键 词：quadratic integer convex programming stochastic level value approximation cross-entropy method asymptotic convergence 

分 类 号：O221.2[理学—运筹学与控制论]