DEoptim: An R Package for Global Optimization by Differential Evolution

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Authors Katharine M. Mullen, David Ardia, David Leon Gil, Donald Windover, James P. Cline
Journal/Conference Name Journal of Statistical Software
Paper Category
Paper 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 of publication 2009
Code Programming Language R

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