Differential Evolution with DEoptim

Authors

David Ardia, aeris CAPITAL AG
Kris Boudt, Lessius and K.U.Leuven
Peter Carl, Guidance Capital Management
Katharine M. Mullen, National Institute of Standards and Technology
Brian G. Peterson, Cheiron Trading

Date of this Version

6-2011

Document Type

Article

Citation

The R Journal (June 2011) 3(1)

Comments

Copyright 2011, The R Foundation. Open access material. License: CC BY 3.0 Unported

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.