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DEoptim: An R Package for Global Optimization by Differential Evolution

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

Abstract

This article describes the R package DEoptim which implements the differential evolution algorithm for the 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 via case studies in fitting a Parratt model for X-ray reflectometry data and a Markov-Switching Generalized AutoRegressive Conditional Heteroskedasticity (MSGARCH) model for the returns of the Swiss Market Index.

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File URL: http://mpra.ub.uni-muenchen.de/27878/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 21743.

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Date of creation: 21 Dec 2009
Date of revision: 26 Dec 2010
Handle: RePEc:pra:mprapa:21743

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Keywords: global optimization; evolutionary algorithm; differential evolution; R software;

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References

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  1. Higgins, Steven I. & Kantelhardt, Jochen & Scheiter, Simon & Boerner, Jan, 2007. "Sustainable management of extensively managed savanna rangelands," Ecological Economics, Elsevier, Elsevier, vol. 62(1), pages 102-114, April.
  2. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
  3. Franc Klaassen, 2002. "Improving GARCH volatility forecasts with regime-switching GARCH," Empirical Economics, Springer, Springer, vol. 27(2), pages 363-394.
  4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 5-59.
  5. Ardia, David & Boudt, Kris & Carl, Peter & Mullen, Katharine M. & Peterson, Brian, 2010. "Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization," MPRA Paper 22135, University Library of Munich, Germany.
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Cited by:
  1. Ardia, David & Ospina, Juan & Giraldo, Giraldo, 2010. "Jump-Diffusion Calibration using Differential Evolution," MPRA Paper 26184, University Library of Munich, Germany, revised 25 Oct 2010.
  2. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 436-456.
  3. Ardia, David & Boudt, Kris & Carl, Peter & Mullen, Katharine M. & Peterson, Brian, 2010. "Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization," MPRA Paper 22135, University Library of Munich, Germany.
  4. Arne Henningsen & Géraldine Henningsen, 2011. "Econometric Estimation of the “Constant Elasticity of Substitution" Function in R: Package micEconCES," IFRO Working Paper, University of Copenhagen, Department of Food and Resource Economics 2011/9, University of Copenhagen, Department of Food and Resource Economics.
  5. Rodrigue Oeuvray & Pascal Junod, 2013. "On time scaling of semivariance in a jump-diffusion process," Papers 1311.1122, arXiv.org.
  6. Eling, Martin & Holder, Stefan, 2012. "The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design," Working Papers on Finance, University of St. Gallen, School of Finance 1221, University of St. Gallen, School of Finance.
  7. Eling, Martin & Holder, Stefan, 2013. "The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 491-503.

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