Differential evolution with deoptim

David Ardia*, Kris Boudt, Peter Carl, Katharine M. Mullen, Brian G. Peterson

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

The R package DEoptim implements the Differential Evolution algorithm. This algorithm is an evolutionary technique similar to classic genetic algorithms that is useful for the solution of global optimization problems. In this note we provide an introduction to the package and demonstrate its utility for financial applications by solving a non-convex portfolio optimization problem.

Original languageEnglish
Pages (from-to)27-34
Number of pages8
JournalThe R Journal
Volume3
Issue number1
Publication statusPublished - 2011

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