Thank you for those details, the only optimization routine I've come accross outside of CRAN is: http://www.stat.umn.edu/geyer/trust/
Personally I only use nlminb for the estimation of Time Series models, which typically have well defined limits for the elements of the parameter vector - so in my post I guess as a "high level" explaination I was stressing in reality you'd use nlm for unconstrained and nlminb for constrained (and as you point out box constraints) optimization as the "take home" point. I notice the R group where taking part in the "Google summer of code 2008" event - perhaps a useful project could be the implementation of numerous optimization routines in R? Thanks David Douglas Bates-2 wrote: > > nlminb provides unconstrained optimization and optimization subject to > box constraints (i.e. upper and/or lower constraints on individual > elements of the parameter vector). The nlm function provides > unconstrained optimization. > > I created the nlminb function because I was unable to get reliable > convergence on some difficult optimization problems for the nlme and > lme4 packages using nlm and optim. The nlme package was originally > written for S from Bell Labs (the forerunner of S-PLUS) and the PORT > package was the optimization code used. Even though it is very old > style Fortran code I find it quite reliable as an optimizer. It > allows for what is called reverse communication which is convenient in > an environment like R. It is a technical issue that has to do with > what code is in control when your R expression needs to be evaluated. > > That said, I still don't feel that I have seen good, modern > Open-Source optimization code. I would welcome suggestions of where > one might find such code. > > > On Wed, Jun 11, 2008 at 3:16 AM, DavidM.UK <[EMAIL PROTECTED]> > wrote: >> >> I believe nlminb() performs *constrained* optimization, where as nlm() is >> for >> *unconstrained* opimization >> >> So I guess nlm() is for solving min(f[a,b]), and nlminb() min(f[a,b]) >> given >> a+b <= c >> >> FYI I think optim() also does constrained optimization, well I've used >> for >> min(f[a,b]) given a <= a* and b <= b*. >> >> David >> >> >> ae2356 wrote: >>> >>> >>> Hi, >>> >>> I was wondering if someone could give a brief, big picture overview of >>> the >>> difference between the two optimization functions nlm and nlminb. I'm >>> not >>> familiar with PORT routines, so I was hoping someone could give an >>> explanation. >>> >>> Thanks, >>> Angelo >>> _________________________________________________________________ >>> Instantly invite friends from Facebook and other social networks to join >>> yo >>> https://www.invite2messenger.net/im/?source=TXT_EML_WLH_InviteFriends >>> [[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. >>> >>> >> >> -- >> View this message in context: >> http://www.nabble.com/difference-between-nlm-and-nlminb-tp17769859p17772440.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. > > ----- David Merritt Postgrad [Statistics] University of Bristol, UK -- View this message in context: http://www.nabble.com/difference-between-nlm-and-nlminb-tp17769859p17796362.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.
