CEoptim: Cross-Entropy R Package for Optimization
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| Authors | Tim Benham, Qibin Duan, Dirk P. Kroese, Benoit Liquet |
| Journal/Conference Name | Journal of Statistical Software |
| Paper Category | Other |
| Paper 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. |
| Date of publication | 2015 |
| Code Programming Language | R |
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