Journal of Statistical Software (Apr 2011)

DEoptim: An R Package for Global Optimization by Differential Evolution

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

Journal volume & issue
Vol. 40, no. 06

Abstract

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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