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arXiv · 1503.01842

CEoptim: Cross-Entropy R Package for Optimization

Tim Benham·Qibin Duan·Dirk P. Kroese·Benoit Liquet
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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.

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Tim Benham, Qibin Duan, Dirk P. Kroese, Benoit Liquet. 2015-03-06. CEoptim: Cross-Entropy R Package for Optimization. https://arxiv.org/abs/1503.01842

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