DEoptim: 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

See all articles by Katharine Mullen

Katharine Mullen

Government of the United States of America - National Institute of Standards and Technology (NIST)

David Ardia

HEC Montreal - Department of Decision Sciences

David L. Gil

Independent

Donald Windover

Independent

James Cline

Independent

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

Mullen, Katharine and Ardia, David and Gil, David L. and Windover, Donald and Cline, James, DEoptim: An R Package for Global Optimization by Differential Evolution (December 21, 2009). Journal of Statistical Software, Vol. 40, No. 6, pp. 1-26, April 2011, Available at SSRN: https://ssrn.com/abstract=1526466

Katharine Mullen

Government of the United States of America - National Institute of Standards and Technology (NIST) ( email )

Gaithersburg, MD 20899-8910
United States

David Ardia (Contact Author)

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

David L. Gil

Independent

Donald Windover

Independent

James Cline

Independent

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