Have you considered the "optimx" package? I haven't tried it,
but it was produced by a team of leading researchers in nonlinear
optimization, including those who wrote most of "optim"
(http://user2010.org/tutorials/Nash.html) years ago.
There is a team actively working on this. If you could provide
specific examples where Gauss and Matlab outperformed the alternatives
you've tried in R, especially if Gauss and Matlab outperformed optimx, I
believe they would be interested.
As previously noted, nonlinear optimization is a difficult
problem. An overview of alternatives available in R, including optim
and optimx, is available with the CRAN Task View on optimization
(http://cran.fhcrc.org/web/views/Optimization.html).
Hope this helps.
Spencer
On 10/1/2011 3:04 AM, Marc Girondot wrote:
Le 01/10/11 08:12, yehengxin a écrit :
I used to consider using R and "Optim" to replace my commercial
packages:
Gauss and Matlab. But it turns out that "Optim" does not converge
completely.
What it means "completely" ?
The same data for Gauss and Matlab are converged very well. I
see that there are too many packages based on "optim" and really
doubt if
they can be trusted!
I don't understand the "too many". If a package needs an optimization,
it is normal that it uses optim !
I use the same model in r, Excel solver (the new version is rather
good) or Profit (a mac software, very powerful) and r is rather one of
the best solution. But they are many different choices that can
influence the optimization. You must give an example of the problem.
I find some convergence problem when the criteria to be minimized is
the result of a stochastic model (ie if the same set of parameters
produce different objective value depending on the run). In this case
the fit stops prematurely and the method SANN should be preferred.
In conclusion, give us more information but take into account that
non-linear optimization is a complex world !
Marc
--
Spencer Graves, PE, PhD
President and Chief Technology Officer
Structure Inspection and Monitoring, Inc.
751 Emerson Ct.
San José, CA 95126
ph: 408-655-4567
web: www.structuremonitoring.com
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