DEoptim: An R package for global optimization by Differential Evolution
Katharine Mullen , David Ardia, David L. Gil, Donald Windover & James Cline
| Résumé |
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. |
| Mots-clés |
Global optimization, evolutionary algorithm, differential evolution, R software |
| Citation | Mullen , K., Ardia, D., Gil, D. L., Windover , D., & Cline, J. (2011). DEoptim: An R package for global optimization by Differential Evolution. Journal of Statistical Software, 40(6), 1-26. |
| Type | Article de périodique (Anglais) |
| Date de publication | 2011 |
| Nom du périodique | Journal of Statistical Software |
| Volume | 40 |
| Numéro | 6 |
| Pages | 1-26 |
| URL | https://www.jstatsoft.org/article/view/v040i06 |