Hi Charlie, Thank you so much for suggestions!!
Actually, I used the optimization toolbox in MABLAB before and I even wrote some numerical optimization programs by myself. As far as I know, some commercial optimization softwares had already replaced L-BFGS-B by more advanced algorithms, such as interior point method, SQP(sequential quadratic programming), implemented under trust region strategy. So, - Have you ever tried these techniques? Are they available in R already? - In your previous experieces, did R work satisfactory? I mean, was it often that R failed to converge or spent too much time? - Mainly, I need to calculate the MLE. But I really have no idea what the likelihood may looks like. According to your experiences, would the likelihood function be too complicated? Is L-BFGS-B good enough? Thanks again!! Popo 2009/5/14 cls59 <sharpst...@mac.com> > > > popo UBC wrote: > > > > Hi all! > > > > The objective function I want to minimize contains about 10 to 20 > > variables, > > maybe more in the future. I never solved such problems in R, so I had no > > idea about the efficiency of R's optimization functions. I know doing > loop > > in R is quite slow, so I am not sure whether this shortage influences the > > speed of R's optimization functions. > > > > I would be very appreciated if anyone could share some experiences with > > me. > > The speed, stability of the R's optimization functions. Is it helpful to > > call a C/Fortran code to do the job, if possible. > > > > Many thanks in advance. > > > > Popo > > > > > > > Many functions available in R are implemented using a compiled language > such as C or Fortran- not the R language it's self. For example, the > "Source" > section of the help page for optim states that the code for the > Nelder-Mead, > BFGS and Conjugate Gradient methods were translated to C from Pascal and > then further optimized. The L-BFGS-B method appears to be implemented as > Fortran code. > > Looking at the source of the optim function reveals that results are > computed by a call to .Internal(). Such calls usually indicate that R is > handing computations off to a compiled, rather than interpreted, routine. > > If you have C or Fortran code you would prefer to use, take a look at the > help pages for .C() and .Fortran() as well as the "Writing R Extensions" > manual. The command line tool R CMD SHLIB will help you compile your code > to > shared libraries that can be loaded by R using dyn.load(). > > -Charlie > > > > > ----- > Charlie Sharpsteen > Undergraduate > Environmental Resources Engineering > Humboldt State University > -- > View this message in context: > http://www.nabble.com/About-the-efficiency-of-R-optimization-function-tp23552061p23552668.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > 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<http://www.r-project.org/posting-guide.html> > and provide commented, minimal, self-contained, reproducible code. > > [[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.
