Array comparative genome hybridization (aCGH) is a widely used methodology to detect copy number variations of a genome in high resolution. Knowing the number of break-points and their corresponding locations in genomic sequences serves different biological needs. Primarily, it helps to identify disease-causing genes that have functional importance in characterizing genome wide diseases. For human autosomes the normal copy number is two, whereas at the sites of oncogenes it increases (gain of DNA) and at the tumour suppressor genes it decreases (loss of DNA). The majority of the current detection methods are deterministic in their set-up and use dynamic programming or different smoothing techniques to obtain the estimates of copy number variations. These approaches limit the search space of the problem due to different assumptions considered in the methods and do not represent the true nature of the uncertainty associated with the unknown break-points in genomic sequences. We propose the Cross-Entropy method, which is a model-based stochastic optimization technique as an exact search method, to estimate both the number and locations of the break-points in aCGH data. We model the continuous scale log-ratio data obtained by the aCGH technique as a multiple break-point problem. The proposed methodology is compared with well established publicly available methods using both artificially generated data and real data. Results show that the proposed procedure is an effective way of estimating number and especially the locations of break-points with high level of precision. Availability: The methods described in this article are implemented in the new R package breakpoint and it is available from the Comprehensive R Archive Network at http://CRAN.R-project.org/package=breakpoint.