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Stochastic level-value approximation for integer programming

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  • 1. Department of Mathematics, Shanghai University, Shanghai 200444, P. R. China;
    2. Department of mathematics, Hunan Institute of Science and Technology,Yueyang 414006, Hunan Province, P. R. China

Received date: 2007-07-09

  Revised date: 2008-04-30

  Online published: 2008-06-18

Abstract

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.

Cite this article

PENG Zheng;WU Dong-hua . Stochastic level-value approximation for integer programming[J]. Applied Mathematics and Mechanics, 2008 , 29(6) : 801 -809 . DOI: 10.1007/s10483-008-0611-y

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