The RcppEnsmallen package brings to R a Header-Only C++ Mathematical Optimization Library for Armadillo. Previous packages, like RcppNumerical, enabled optimization routines for Eigen when combined with RcppEigen. 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. Provided within are various standard and cutting-edge optimizers that include full-batch gradient descent techniques, small-batch techniques, gradient-free optimizers, and constrained optimization.
The RcppEnsmallen package includes the header files from the Ensmallen library and pairs the appropriate header files from armadillo through the RcppArmadillo package. Therefore, users do not need to install ensmallen nor armadillo to use RcppEnsmallen.
RcppEnsmallen news file entry for version v0.1.10.0.1 (2018-10-30)
New
- Support for compiling via R the mathematical optimizers in the C++ ensmallen library.
- Includes ensmallen release 1.10.0 “Corporate Catabolism” (2018-10-19)
Special Thanks
- The crux of this package has largely been developed by Ensmallen development team that consists of Conrad Sanderson, Ryan Curtin, and the MLPACK developers