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DEoptim: An R Package for Global Optimization by Differential Evolution

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

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/21743/1/MPRA_paper_21743.pdf
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File URL: http://mpra.ub.uni-muenchen.de/27878/2/MPRA_paper_27878.pdf
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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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Web page: http://mpra.ub.uni-muenchen.de

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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, 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, vol. 57(2), pages 357-84, March.
  3. 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, vol. 52(1-2), pages 5-59.
  4. 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.
  5. Franc Klaassen, 2002. "Improving GARCH volatility forecasts with regime-switching GARCH," Empirical Economics, Springer, vol. 27(2), pages 363-394.
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