|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.|
Page views:: 1612. Submitted: 2015-02-27. Published: 2017-02-20.
CEoptim: Cross-Entropy R Package for Optimization
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