Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Katharine M. Mullen, David Ardia, David L. Gil, Donald Windover, James Cline
Title: DEoptim: An R Package for Global Optimization by Differential Evolution
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.

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Paper: DEoptim: An R Package for Global Optimization by Differential Evolution     Download PDF (Downloads: 18714)
DEoptim_2.1-0.tar.gz: R source package Download (Downloads: 1201; 324KB)
v40i06.R: R example code from the paper Download (Downloads: 1607; 26KB) Replication material for MSGARCH example Download (Downloads: 1306; 9KB)
MC.rda: Simulation results in R binary format Download (Downloads: 1144; 52KB)

DOI: 10.18637/jss.v040.i06

This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.