parDEoptim

1.parDEoptim.R

setClass("parDEoptim", representation(optim="list", member="list"))

parDEoptim <- function (fn, lower, upper, n=1, control = DEoptim.control(), .packages=NULL, ...) {
  library("DEoptim")
  library("foreach")
  segSizes <- (upper-lower)/n  
  segments <- lapply(1:n, function(x){
    lower+segSizes*(x-1)
  })

  out <- foreach(L=segments, .packages=c(.packages,'DEoptim')) %dopar% {
    U <- L + segSizes
    opt <- DEoptim (fn, L, U, control = control)
    new('parDEoptim',optim=opt$optim,member=opt$member)
  }
  best <- which.min(unlist(lapply(out, function(x) x@optim$bestval)))
  out[[best]]
}

2. Example.R

 Rosenbrock <- function(x){
    x1 <- x[1]
    x2 <- x[2]
    100 * (x2 - x1 * x1)^2 + (1 - x1)^2
  }
lower <- c(-10,-10)
upper <- -lower

#Serial
library("DEoptim")
set.seed(1)
system.time(out1 <- DEoptim(Rosenbrock, lower, upper, DEoptim.control(NP = 100, itermax=2000, trace=FALSE)))

#Parallel
library(doMC)
registerdoMC()
system.time(out2 <- parDEoptim(Rosenbrock, lower, upper, DEoptim.control(NP = 100, itermax=150, trace=FALSE), n=20))

#Check
all.equal(out1$optim$bestmem,out2@optim$bestmem)