Brian Peterson

Brian Peterson

2 packages on CRAN

1 packages on GitHub

DEoptim

cran
92th

Percentile

Implements the differential evolution algorithm for global optimization of a real-valued function of a real-valued parameter vector.

RcppDE

cran
82th

Percentile

An efficient C++ based implementation of the 'DEoptim' function which performs global optimization by differential evolution. Its creation was motivated by trying to see if the old approximation "easier, shorter, faster: pick any two" could in fact be extended to achieving all three goals while moving the code from plain old C to modern C++. The initial version did in fact do so, but a good part of the gain was due to an implicit code review which eliminated a few inefficiencies which have since been eliminated in 'DEoptim'.

quantstrat

github
15th

Percentile

Specify, build, and back-test quantitative financial trading and portfolio strategies.