On Sun, Feb 6, 2011 at 10:56 AM, David Winsemius <dwinsem...@comcast.net> wrote: > > On Feb 6, 2011, at 10:28 AM, Rohit Pandey wrote: > >> Hi, >> >> I have been using R for close to two years now and have grown quite >> comfortable with the language. I am presently trying to implement an >> optimization routine in R (Newton Rhapson). I have some R functions that >> calculate the gradient and hessian (pre requisite matrices) fairly >> efficiently. Now, I have to call this function iteratively until some >> convergance criterion is reached. I think the standard method of doing >> this >> in most programming languages is a while loop. However, I know R can get >> pretty slow when you use loops. In order to make this efficient, I want to >> transfer this part of my code to a more efficient programming language >> like >> c++ or c. However, I have been trying to learn this all day without any >> luck. I found a package called Rcpp that makes this easier. However, it >> seems some functional knowledge of writing R packages is a pre requisite. >> I >> tried to follow the standard manual for doing this, but could not find a >> simple example to get me started. I know I am supposed to make a cpp file >> and put it some where before it can be called from R, but I'm confused as >> to >> how this can be done. > > Dirk Eddelbuettel has 8 vignettes linked from his Rcpp page: > > http://dirk.eddelbuettel.com/code/rcpp.html > > And reading further you will see about 20 packages written with Rcpp.
Including one called RcppDE which does exactly what you want to do, implementing an optimizer in C++ to be called from R. Another package to look at is RcppArmadillo which provides a linkage between Rcpp and the Armadillo C++ linear algebra library (although it still doesn't do as much as I would like it to for writing optimizers). > And there is a mailing list link which I had originally sought on the main > Mailing List page (unsuccessfully): > > http://lists.r-forge.r-project.org/pipermail/rcpp-devel/ > > -- > David. >> >> My requirement is to start with a parameter vector, update it according to >> the gradient and hessian, check if the parameter satisfies some >> convergance >> criterion and continue doing this until it does. Is there a way to >> efficiently do this through an R function (replicate?). The problem is >> that >> the number of iterations is not fixed. If there is no function in R, is >> there a way I can quickly use Rcpp or some thing to have this last part of >> my code in a C or C++ program which repeatedly calls my R functions for >> updating the parameters? >> >> -- >> Thanks in advance, >> Rohit >> Mob: 91 9819926213 >> >> [[alternative HTML version deleted]] >> >> ______________________________________________ >> R-help@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. > > David Winsemius, MD > West Hartford, CT > > ______________________________________________ > R-help@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. > ______________________________________________ R-help@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.
