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DEoptim: An R Package for Global Optimization by Differential Evolution

Published

Author(s)

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

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.
Citation
Journal of Statistical Software

Keywords

global optimization, evolutionary algorithm, differential evolution, X-ray reflectometry, Parratt model, MSGARCH model, R software

Citation

Mullen, K. , , D. , Gil, D. , Windover, D. and Cline, J. (2011), DEoptim: An R Package for Global Optimization by Differential Evolution, Journal of Statistical Software, [online], https://tsapps.nist.gov/publication/get_pdf.cfm?pub_id=904792 (Accessed July 19, 2024)

Issues

If you have any questions about this publication or are having problems accessing it, please contact reflib@nist.gov.

Created May 1, 2011, Updated January 18, 2018