DEoptim: An R Package for Global Optimization by Differential Evolution

Katharine M. Mullen, David Ardia, David L. Gil, Donald Windover and James Cline

Journal of Statistical Software, 2011, vol. 040, issue i06

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.

Date: 2011-04-07
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Working Paper: DEoptim: An R Package for Global Optimization by Differential Evolution (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:040:i06

DOI: 10.18637/jss.v040.i06

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