U.S. flag

An official website of the United States government

Official websites use .gov
A .gov website belongs to an official government organization in the United States.

Secure .gov websites use HTTPS
A lock ( ) or https:// means you’ve safely connected to the .gov website. Share sensitive information only on official, secure websites.

PUBLICATIONS

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
Pub Type
Journals

Download Paper

Local Download

Keywords

global optimization, evolutionary algorithm, differential evolution, X-ray reflectometry, Parratt model, MSGARCH model, R software
Mathematics and statistics and Numerical methods and 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 May 4, 2024)

Created May 1, 2011, Updated January 18, 2018