Download This PaperDEoptim: An R Package for Global Optimization by Differential Evolution
Journal of Statistical Software, Vol. 40, No. 6, pp. 1-26, April 2011
26 Pages Posted: 21 Dec 2009 Last revised: 3 Aug 2018
Date Written: December 21, 2009
Abstract
This article describes the R package DEoptim, which implements the Differential Evolution algorithm for global optimization of a real-valued function of a real-valued parameter vector. The implementation of Differential Evolution in DEoptim interfaces with C code for efficiency. The utility of the package is illustrated by case studies in fitting a Parratt model for X-ray reflectometry data and a Markov-Switching Generalized AutoRegressive Conditional Heteroskedasticity model for the returns of the Swiss Market Index.
Keywords: global optimization, evolutionary algorithm, differential evolution, R software
JEL Classification: C20, C61
Suggested Citation: Suggested Citation
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