Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Tim Benham, Qibin Duan, Dirk P. Kroese, Benoît Liquet
Title: CEoptim: Cross-Entropy R Package for Optimization
Abstract: The cross-entropy (CE) method is a 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.

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Paper: CEoptim: Cross-Entropy R Package for Optimization     Download PDF (Downloads: 2335)
Supplements:
CEoptim_1.2.tar.gz: R source package Download (Downloads: 129; 19KB)
v76i08.R: R replication code Download (Downloads: 164; 18KB)
DOI: 10.18637/jss.v076.i08

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.