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Article Dans Une Revue Journal of Statistical Software Année : 2017

CEoptim: Cross-entropy R package for optimization

Résumé

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.

Dates et versions

hal-01759896 , version 1 (05-04-2018)

Identifiants

Citer

T. Benham, Q. Duan, D.P. Kroese, Benoit Liquet. CEoptim: Cross-entropy R package for optimization. Journal of Statistical Software, 2017, 76 (8), pp.1-29. ⟨10.18637/jss.v076.i08⟩. ⟨hal-01759896⟩
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