Try the "optimx" package. It is ideal for doing comparative performance evaluations of different optimizers for box-constrained problems. It unifies about a dozen algorithms under a single function call that is almost identical to that of `optim'. You need to set the control option as `all.methods=TRUE' to get all the algorithms.
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: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of ppinger Sent: Monday, February 07, 2011 3:45 PM To: r-help@r-project.org Subject: [R] fast optimization routines in R Dear R help archive group, I am looking for a maximization routine that I can use to maximize a large variety of relatively complex likelihoods. I undertand (from previous posts) that coding the objective function more efficiently can help. However, the optimization routine employed seems important too. So far, I have tried the optimization routines optim, maxlik, trust and nlminb. The latter two are much faster than the first ones but nevertheless, it seems to me as if these routines were rather slow, when compared to some of the optimizers in MATLAB. Is there any general advice you can give about which optimization routines in R tend to be particularly fast? Thank you very much, Pia -- View this message in context: http://r.789695.n4.nabble.com/fast-optimization-routines-in-R-tp3265071p3265 071.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 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.
