Differential Evolution with DEoptim
David Ardia, Kris Boudt, Peter Carl, M. Mullen Katharine, G. Peterson Brian · The R Journal · 2011
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.