00709952

j

00709952 Fang, S.C. Tsao, H.S.J. A quadratically convergent global algorithm for the linearly-constrained minimum cross-entropy problem. Eur. J. Oper. Res. 79, No.2, 369-378 (1994). 1994 Elsevier Science B.V.(North-Holland), Amsterdam EN unconstrained optimization curved-search algorithm cross-entropy minimization quadratic rate of convergence

doi:10.1016/0377-2217(94)90365-4

Summary: We propose a curved-search algorithm for solving the cross-entropy minimization problem with linear equality constraints. The proposed algorithm converges globally to a dual optimal solution with a quadratic rate of convergence. A dual-to-primal conversion formula is provided. We also analyze the computational effort required for the algorithm and report our computational experience.