Re: [R] Excel can do what R can't?????

[Prof Brian Ripley]

On Mon, 4 Aug 2003, Jean Fan wrote:

> Dear Professor Ripley,
> 
> I'm little confused of your reply: do you mean that GRG would 
> not be a standard optimization algorithm, so it couldn't be 
> better than what exist in R ?

Not at all.  I meant what I actually said (and I said nothing about which
was better).  To spell it out:

First optim() has five different methods, so Excel's could be at most 
essentially the same as *one* of them.

Second, none of them are called GRG2 by their authors.

Third, GRG2 by that name does not appear in the index of my books.

> I'm not a specialist of numerical optimization algorithms,
> but it seems that GRG is actually implemented in several
> specialized optimisation toolbox (sure generally commercial), 
> not only the limited one in Excel. 
> And with google, search "GRG generalized reduced gradient" is 
> giving 424 links. 

So now you will be able to work out how it differs, it at all, from the 
methods of R (which are fully documented).

But looking at just the first reference suggests that GRG is not intended 
for unconstrained or box-constrained problems, those covered by optim(),
and that it is a class of methods rather than an actual algorithm.


> 
> --
> Fan
> 
> > I've found that the discussions are interesting, generally 
> > speaking, peoples seem equally confident on R's optim/nlm and 
> > Excel's solver.
> > 
> > The authors of the algorithm GRG2 (Generalized Reduced Gradient)
> > are not cited in the documentation of optim(), so I'm wondering if
> > the optimization algorithm implemented in Excel is "fondamentally"
> > the same than that in R ?
> 
> I don't suppose Excel cites the method*s* used in optim() either,
> but GRG2 is not in the index of my copies of any of the standard texts on numerical optimization.


-- 
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 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595