RcppEnsmallen v0. Released - Added Optimizer DE and Bug Fixes

The RcppEnsmallen package brings to R a Header-Only C++ Mathematical Optimization Library for Armadillo. In particular, Ensmallen is a templated C++ mathematical optimization library (by the MLPACK team) that provides a simple set of abstractions for writing an objective function to optimize.

Since the last update, the Ensmallen Development Team ‘ has been hard at work. Within this release, there are a slew of bugs being fixed and a new optimizer for Differential Evolution (DE). Overall, it’s a solid release! Details on the release are found below.

RcppEnsmallen news file entry for version v0. (2019-03-10)

  • Upgraded to ensmallen release 1.14.1 “Difficult Crimp” (2019-03-09)
    • Fixes for SPSA (#87).
    • Optimized CNE and DE (#90). Changed initial population generation in CNE to be a normal distribution about the given starting point, which should accelerate convergence.
    • Add DE optimizer (#77).
    • Fix for Cholesky decomposition in CMAES (#83).

GitHub Changelog

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