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
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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