Differential Evolution with DEoptim

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.

David Ardia , Kris Boudt , Peter Carl , Katharine M. Mullen , Brian G. Peterson

CRAN packages used

DEoptim, PortfolioAnalytics, quantmod, PerformanceAnalytics

CRAN Task Views implied by cited packages

Finance, Optimization


Text and figures are licensed under Creative Commons Attribution CC BY 4.0. The figures that have been reused from other sources don't fall under this license and can be recognized by a note in their caption: "Figure from ...".


For attribution, please cite this work as

Ardia, et al., "Differential Evolution with DEoptim", The R Journal, 2011

BibTeX citation

  author = {Ardia, David and Boudt, Kris and Carl, Peter and Mullen, Katharine M. and Peterson, Brian G.},
  title = {Differential Evolution with DEoptim},
  journal = {The R Journal},
  year = {2011},
  note = {https://doi.org/10.32614/RJ-2011-005},
  doi = {10.32614/RJ-2011-005},
  volume = {3},
  issue = {1},
  issn = {2073-4859},
  pages = {27-34}