DEoptim

DEoptim in Parallel

This is great work by Josh. If anyone would like … Unknown - Mar 2, 2012This is great work by Josh. If anyone would like to test this out before we send it to CRAN, see example code in the ‘sandbox’ directory in the package source, also provided by Josh. If you want to just see it working (though this won’t show any speed improvements), here is some minimal code. You will need the following packages installed: doSNOW, foreach, DEoptim (the version from R-forge, not CRAN).

DEoptim in Parallel

Running DEoptim in parallel has been on the development team’s wishlist for awhile. It had not been a priority though, because none of us have personally needed it. An opportunity arose when Kris Boudt approached me about collaborating to add this functionality as part of a consultancy project for a financial services firm. We were able to add and test the functionality within a week. The latest revision of DEoptim on R-Forge has the capability to evaluate the objective function on multiple cores using foreach.