CEoptim: Cross-Entropy R Package for Optimization
Computation
2015-03-09 v1
Abstract
The cross-entropy (CE) method is simple and versatile technique for optimization, based on Kullback-Leibler (or cross-entropy) minimization. The method can be applied to a wide range of optimization tasks, including continuous, discrete, mixed and constrained optimization problems. The new package CEoptim provides the R implementation of the CE method for optimization. We describe the general CE methodology for optimization and well as some useful modifications. The usage and efficacy of CEoptim is demonstrated through a variety of optimization examples, including model fitting, combinatorial optimization, and maximum likelihood estimation.
Cite
@article{arxiv.1503.01842,
title = {CEoptim: Cross-Entropy R Package for Optimization},
author = {Tim Benham and Qibin Duan and Dirk P. Kroese and Benoit Liquet},
journal= {arXiv preprint arXiv:1503.01842},
year = {2015}
}
Comments
28 pages, 11 figures