[Rd] Improved Nelder-Mead algorithm - a potential replacement for optim's Nelder-Mead

[Ravi Varadhan]

Dear Barry,

Thanks for your response.  The code is written in R language.  

I had obtained permission from the author C.T. Kelley and the Publisher (SIAM) for releasing the R code under GPL-2 license.  I don't understand what else you'd need to study.   I can send you the actual email transactions, if you are interested in making this happen. 

If there is no interest from any of the R-core members, I will just go ahead and release it as a separate package. My only reason for not doing that was that this potentially useful improvement to an already existing and widely-used algorithm will get lost in a sea of 2200+ packages.

Best regards,
Ravi.
____________________________________________________________________

Ravi Varadhan, Ph.D.
Assistant Professor,
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University

Ph. (410) 502-2619
email: rvaradhan at jhmi.edu


----- Original Message -----
From: Barry Rowlingson <b.rowlingson at lancaster.ac.uk>
Date: Saturday, March 6, 2010 8:04 am
Subject: Re: [Rd] Improved Nelder-Mead algorithm - a potential replacement for optim's Nelder-Mead
To: Ravi Varadhan <rvaradhan at jhmi.edu>
Cc: r-devel at r-project.org, Søren Højsgaard <Soren.Hojsgaard at agrsci.dk>


> On Fri, Mar 5, 2010 at 8:26 PM, Ravi Varadhan <rvaradhan at jhmi.edu> wrote:
> > Hi,
> >
> > I have written an R translation of C.T. Kelley's Matlab version of 
> the Nelder-Mead algorithm.  This algorithm is discussed in detail in 
> his book "Iterative methods for optimization" (SIAM 1999, Chapter 8). 
>  I have tested this relatively extensively on a number of smooth and 
> non-smooth problems.  It performs well, in general, and it almost 
> always outperforms optim's implementation of Nelder-Mead.  I have 
> obtained written permissions from both SIAM (publishers of Kelley's 
> text) and from C.T. Kelley himself to make this publicly available in 
> R.
> 
>  By 'in R' do you mean 'written in R' or 'in the R package as you get
> from CRAN'?
> 
>  I think the terms and conditions of that permission would need to be
> studied if the code can be redistributed and modified, who holds the
> copyright, can it be stuck in with R under an open license and so
> on...
> 
> >   Therefore, speed gains could be achieved if translated into C (I 
> am not proficient in C).
> 
>  Not necessarily - if most of the time is spent in the objective
> function then even an instantaneous implementation isn't going to
> speed things up enough to be worthwhile. More R users know R than C so
> the R implementation is always going to be more useful for R users to
> study, tweak, and possibly improve!
> 
>  Sounds good though!
> 
> Barry
> 
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