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

TL;DR

CEopt is a MATLAB package that implements the Cross-Entropy method for non-convex optimization, providing a transparent, robust, and scalable solver with constraint handling capabilities, demonstrated through various case studies.

Contribution

It introduces a MATLAB tool that combines the Cross-Entropy method with augmented Lagrangian for effective constraint handling in non-convex optimization.

Findings

Effective handling of constraints using augmented Lagrangian

Robustness and scalability demonstrated in case studies

Practical applicability across diverse optimization problems

Abstract

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.