| Authors: | Katharine M. Mullen, David Ardia, David L. Gil, Donald Windover, James Cline |
| Title: | [download] (3976)DEoptim: An R Package for Global Optimization by Differential Evolution |
| Reference: | Vol. 40, Issue 6, Apr 2011 Submitted 2010-03-27, Accepted 2011-02-04 |
| Type: | Article |
| Abstract: | 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. |
| Paper: | [download] (3976)DEoptim: An R Package for Global Optimization by Differential Evolution (application/pdf, 1.5 MB) |
| Supplements: | [download] (280)DEoptim_2.1-0.tar.gz: R source package (application/x-gzip, 324.7 KB) |
| [download] (357)v40i06.R: R example code from the paper (application/octet-stream, 26.6 KB) |
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| [download] (345)MSGJR.zip: Replication material for MSGARCH example (application/zip, 9.5 KB) |
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| [download] (286)MC.rda: Simulation results in R binary format (application/octet-stream, 52.4 KB) |
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| Resources: | BibTeX | OAI |
