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CEopt: A MATLAB Package for Non-convex Optimization with the Cross-Entropy Method

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arxiv 2409.00013 v1 pith:NNA73H2J submitted 2024-08-15 stat.CO cs.MSmath.OCstat.ME

classification stat.COcs.MSmath.OCstat.ME
keywords ceoptoptimizationmethodcross-entropymatlabnon-convexpackageaddition
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This paper introduces CEopt (https://ceopt.org), a MATLAB tool leveraging the Cross-Entropy method for non-convex optimization. Due to the relative simplicity of the algorithm, it provides a kind of transparent ``gray-box'' optimization solver, with intuitive control parameters. Unique in its approach, CEopt effectively handles both equality and inequality constraints using an augmented Lagrangian method, offering robustness and scalability for moderately sized complex problems. Through select case studies, the package's applicability and effectiveness in various optimization scenarios are showcased, marking CEopt as a practical addition to optimization research and application toolsets.

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Cited by 1 Pith paper

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. OpenAlex reports about 4 citations worldwide. Full citation record

  1. Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets

    q-fin.PR 2025-08 reject novelty 5.0 of 10

    The Marketron model is extended to option pricing via utility indifference and a fast numerical solver, but the calibrated model fails to jointly reproduce option prices and underlying log-return volatility.

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