Cross-Entropy Optimisation of Noisy Functions
Geweke's test stopping rule
Cross-Entropy Optimisation of Noisy Functions
Cross-Entropy Optimisation of Noisy Functions
Decreasing first-order smoothing rule
Linear first-order smoothing rule
Time series change stopping rule
Functions for defining the types of variables
Cross-Entropy optimisation of unconstrained deterministic and noisy functions illustrated in Rubinstein and Kroese (2004, ISBN: 978-1-4419-1940-3) through a highly flexible and customisable function which allows user to define custom variable domains, sampling distributions, updating and smoothing rules, and stopping criteria. Several built-in methods and settings make the package very easy-to-use under standard optimisation problems.