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I’ve been playing around with the differential evolution library in R, and I was wondering: is this an algorithm that it makes sense to parallelize? It seems to me that you could split the optimization interval into several segments, run the algorithm on each segment, and then compare the results of each segment and return the minimum.
Yes, it should parallelize. It’s not too hard to find numerous Google hits for the topic, and the GAUL project on Soureforge has even some code (that is not ported to R in any way).
Back to R and its DE variants, the best approach would be at the compiled level. I had a go at it using OpenMP in a ‘RcppParDE’ variant of my RcppDE ‘port’ of DEoption but didn’t get it finished.
I understand that the next (current?) DEoptim version has a variant that uses a foreach loop at the R level which is not ideal but better than a serial-only approach.