Options
Differential Evolution with DEoptim: An application to non-convex portfolio optimization
Auteur(s)
Date de parution
2011
In
The R Journal
Vol.
1
No
3
De la page
27
A la page
34
Revu par les pairs
1
Résumé
The R package DEoptim implements the differential evolution algorithm. This algorithm is an evolutionary technique similar to 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 optimization problem.
Identifiants
Autre version
https://journal.r-project.org/archive/2011-1/RJournal_2011-1_Ardia~et~al.pdf
Type de publication
journal article
Dossier(s) à télécharger
