R optimization algorithm

[Urszula]

Hi, does anybody know nonlinear global optimization packages/functions in R. I am working on replicating a portfolio and have about 35 scenarios for 20 different assets which weights I am trying to optimize to match the MV changes of the portfolio.

 

[alain]

try DEoptim

 

[Urszula]

I am trying the below installation but it returns error message. Is that really N/A for 2.15 or am I doing something wrong?

> install.packages("DEoptim", repos="http://R-Forge.R-project.org")
Warning: unable to access index for repository http://R-Forge.R-project.org/bin/windows/contrib/2.15
Warning message:
package ‘DEoptim’ is not available (for R version 2.15.0)

 

[Vu Le]

install.packages()
and search manually. I use 2.13 and it works fine. The package is built under 2.13.2