fn.DEoptim {DMQ}

A wrapper to the DEoptim function of the DEoptim package of Mullen et al. (2011).

Description

This function is a wrapper to the DEoptim function of the DEoptim package of Mullen et al. (2011).

Usage

 fn.DEoptim(par0, vY, FUN, LB, UB, ...)

Arguments

par0

numeric vector of named model coefficients.

vY

numeric vector or matrix of data.

FUN

A function to optimize.

LB

A vector of lower bounds for the parameters.

UB

A vector of upper bounds for the parameters.

...

Additional arguments to provide to DEoptim.

Details

The following control parameters are used: trace = 0, rho = 1, outer.iter = 400, inner.iter = 1800, delta = 1e-08, tol = 1e-08. See the documentation of DEoptim.

Value

It returns a named list with four elements: i) pars: a numeric vector where the estimated parameters are stored, ii) value: a numeric containing the value of the objective function evaluated at its minumum, iii) hessian, a numeric matrix containing the Hessian matrix evaluated at the minimum of the objective function, and iv) convergence a numeric element indicating the convergence (convergence is always reached by DEoptim, i.e. convergence = 1).

Author(s)

Leopoldo Catania

References

Katharine Mullen, David Ardia, David Gil, Donald Windover, James Cline (2011). 'DEoptim': An R Package for Global Optimization by Differential Evolution. Journal of Statistical Software, 40(6), 1-26. doi:10.18637/jss.v040.i06.

Ardia, D., Boudt, K., Carl, P., Mullen, K.M., Peterson, B.G. (2010). Differential Evolution with 'DEoptim': An Application to Non-Convex Portfolio Optimization. R Journal, 3(1), 27-34. doi:10.32614/RJ-2011-005.

See Also

help(DEoptim)