Hi,
I have written an R translation of C.T. Kelley's Matlab version of the
Nelder-Mead algorithm. This algorithm is discussed in detail in his book
"Iterative methods for optimization" (SIAM 1999, Chapter 8). I have tested
this relatively extensively on a number of smooth and non-smooth problems. It
performs well, in general, and it almost always outperforms optim's
implementation of Nelder-Mead. I have obtained written permissions from both
SIAM (publishers of Kelley's text) and from C.T. Kelley himself to make this
publicly available in R.
I have been planning on releasing this function either as a separate package or
as one of the algorithms in a package containing derivative-free methods.
However, it was recently suggested to me by Soren Hosgaard that a better option
would be to incorporate this as part of `optim' itself, either replacing
existing Nelder-Mead or as another `method' in optim, so that it will be more
widely used. Would anyone from the R-core be interested in incorporting this
into optim? It should be mentioned that my code is entirely written in R.
Therefore, speed gains could be achieved if translated into C (I am not
proficient in C).
Best,
Ravi.
____________________________________________________________________
Ravi Varadhan, Ph.D.
Assistant Professor,
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University
Ph. (410) 502-2619
email: rvarad...@jhmi.edu
--- Begin Message ---
Dear Ravi,
A possible alternative to releasing this as an R-package (there are already
2200+ packages now) could be to approach the R-core (specifically I am thinking
about Martin Maechler) to suggest that your contribution would be included as
an option (possibly even the default) in optim().
Best regards
Søren
________________________________________
Fra: r-help-boun...@r-project.org [r-help-boun...@r-project.org] På vegne
af Ravi Varadhan [rvarad...@jhmi.edu]
Sendt: 5. marts 2010 16:21
Til: stephen sefick
Cc: r-h...@r-project.org
Emne: [R] Improved Nelder-Mead algorithm and Matlab's fminsearch. Was: Hi
The `fminsearch' in Matlab uses a version of the Nelder-Mead simplex search
algorithm, which is a derivative-free search technique. The Nelder-Mead is
also the default algorithm in optim(). Therefore, you can simply call optim()
to get your job done. However, I would like to mentiion that the Nelder-Mead
implementation in optim() is not the best, and I have had others (who use
Matlab) tell me that `fminsearch' generally performs better than optim's
Nelder-Mead. I have written an improved version of Nelder-Mead that performs
better than optim's Nelder-Mead. Iwill soon release it as a package (I have
been saying this for several months now!), but I can send it to you if you are
interested.
Hope this helps,
Ravi.
____________________________________________________________________
Ravi Varadhan, Ph.D.
Assistant Professor,
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University
Ph. (410) 502-2619
email: rvarad...@jhmi.edu
----- Original Message -----
From: stephen sefick <ssef...@gmail.com>
Date: Thursday, March 4, 2010 4:02 pm
Subject: Re: [R] Hi
To: hussain abu-saaq <hussain...@hotmail.com>
Cc: r-h...@r-project.org
> I would help, but I don't know matlab.
>
> Stephen
>
> On Thu, Mar 4, 2010 at 2:50 PM, hussain abu-saaq
> <hussain...@hotmail.com> wrote:
> >
> > How Can I write this this matlab code in R:
> >
> >
> >
> options=optimset('TolFun',1e-9,'TolX',1e-9,'MaxIter',1e8,'MaxFunEvals',1e8);
> > c=c/2;
> > [alpha, delta, epsilon, nofcup] = ustrs(set_date,mat_date);
> > y = fminsearch('pbond',.15,options,p,c,nofcup,delta/epsilon);
> > y = 200*y;
> >
> >
> >
> > Note
> > pbond is a function in Matlab I already wrote in R
> >
> >
> > ustrs is a function in Matlab I already convert into r
> >
> >
> > Thank you
> >
> > HI
> >
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > r-h...@r-project.org mailing list
> >
> > PLEASE do read the posting guide
> > and provide commented, minimal, self-contained, reproducible code.
> >
>
>
>
> --
> Stephen Sefick
>
> Let's not spend our time and resources thinking about things that are
> so little or so large that all they really do for us is puff us up and
> make us feel like gods. We are mammals, and have not exhausted the
> annoying little problems of being mammals.
>
> -K. Mullis
>
> ______________________________________________
> r-h...@r-project.org mailing list
>
> PLEASE do read the posting guide
> and provide commented, minimal, self-contained, reproducible code.
______________________________________________
r-h...@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
--- End Message ---
______________________________________________
R-devel@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-devel
