Statistics, Department of
The R Journal
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Date of this Version
6-2011
Document Type
Article
Citation
The R Journal (June 2011) 3(1)
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.
Included in
Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2011, The R Foundation. Open access material. License: CC BY 3.0 Unported