DEoptim: An R package for global optimization by Differential Evolution

Katharine Mullen , David Ardia, David L. Gil, Donald Windover & James Cline

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.
Keywords 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 Journal article (English)
Date of appearance 2011
Journal Journal of Statistical Software
Volume 40
Issue 6
Pages 1-26
URL https://www.jstatsoft.org/article/view/v040i06