Rosenbrock Visualisation

Problem Description

This tricky function is described in Section 5.1 of [1].

Program Descriptions

  • demoros.m
    This program contains a set of default parameters, visually illustrating the convergence of the CE method using Normal updating with ``modified smoothing'' (Remark 5.2 in [1]) for the 2-dimensional Rosenbrock function. The base programs were written by Sho Nariai, and subsequently modified.

    Usage:
    Call the program from MATLAB, with the following syntax:

    demoros

  • ceros.m
    This program uses the CE method to update the parameters.

  • rosenbrock.m
    This program is used internally to evaluate the value of the Rosenbrock function at a particular point.

  • tinormrand.m
    This program is used internally to generate sample points for evaluation.

  • plotce.m
    This program is used internally to plot the progress of the mean and covariance in 2-dimensions.

Bibliography

  1. D. P. Kroese and R. Y. Rubinstein.
    The Cross-Entropy Method: A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning.
    Springer, 2004.