The R Journal · 2011 · 231 citations · 18 references
Natural SciencesFinanceMathematicsFinancial EconomicsOptimizationConvex OptimizationEvolutionary ComputationEvolutionary OptimizationGenetic AlgorithmsGlobal OptimizationPortfolio OptimizationDifferential EvolutionEvolutionary AlgorithmsEvolutionary SearchGenetic Algorithm OptimizationGenetic Algorithm Portfolio SelectionGlobal Portfolio OptimizationPopulation-based Optimization
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.
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