[R] nlmin

Prof Brian D Ripley ripley at stats.ox.ac.uk
Wed Dec 1 11:16:33 CET 1999

On Wed, 1 Dec 1999, JJ Dos Santos Ramalho wrote:

> I'm a very recent user of R. I have been adapting my Splus programmes
> and I found only one (important) problem. There exists no function
> "nlmin" in R and its substitute, "nlm", does not work well with my kind
> of problems, sometimes no achieving convergence, other tines
> "converging" to impossible values. My models are highly nonlinear and
> are to be estimated by both GMM and empirical likelihood methods.
> Is there any alternative nonlinear optimization command in R? In the
> help file it is said that "nlm" is only a preliminary version, is it
> expected to replace/improve it soon? Does anyone have any alternative
> algorithm?

Yes, yes. Note, though that nlm was improved for 0.90.0 and can now
make use of gradient information.  Does your application have known
derivatives? (I know nlmin does not use them.)  The aim is to
allow alternative methods within the nlm function fairly soon (a couple
of months).  One issue to allow the methods to be used recursively,
which means basing them on C code not Fortran code.

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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