mathieugerber/PFoptim: Global Stochastic Optimization using a Particle Filter Algorithm

This package implements the G-PFSO (Global Particle Filter Stochastic Optimization) algorithm of Gerber and Douc (2021) for finding the global minimizer of a function defined through an expectation. Informally speaking, G-PFSO can be seen as a particle and derivative-free version of stochastic gradient methods.

Getting started

Package details

AuthorMathieu Gerber
MaintainerMathieu Gerber <mathieu.gerber@bristol.ac.uk>
LicenseGPL (>= 2)
Version1.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("mathieugerber/PFoptim")
mathieugerber/PFoptim documentation built on July 1, 2022, 2:34 p.m.