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.
The development pace of the Ensmallen Development Team hasn’t stopped! In fact, within the last two weeks they issued another update. This update brought in a new SPSA optimization routine. In addition, the API changed for AugLagrangian optimizer was improved by adding in parameters that control for maximum number of iterations, penalty thresholds, and sigma factor updates. Lastly, the R command checks picked up an issue with the initialization ordering in the new SPSA algorithm, which we sent upstream in mlpack/ensmallen#74.
RcppEnsmallen news file entry for version v0.1.13.0.1 (2019-01-21)
- Upgraded to ensmallen release 1.13.0 “Coronavirus Invasion” (2019-01-14)
- Reordered SPSA parameters to quiet initialization error surfaced with
-Wreorder.