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Differential Evolution with DEoptim

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2011 United States, Netherlands English Publisher:The R FoundationJournal:The R Journal, volume 3, page 27 (eissn: 2073-4859, Copyright policy )
Authors: Ardia, David; Boudt, Kris; Carl, Peter; Mullen, Katharine M.; Peterson, Brian G.;

doi: 10.32614/rj-2011-005

handle: 1871.1/fa08ab89-fb45-4269-a2a6-dee450112096

Differential Evolution with DEoptim

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.

Countries
United States, Netherlands
Related Organizations
Keywords

Programming Languages and Compilers, 330, Computer Sciences, Numerical Analysis and Scientific Computing, 510

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 161
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 1%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 10%
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
161
Top 1%
Top 10%
Top 10%
gold
Related to Research communities
Aurora Universities Network
Netherlands Research Portal