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

[Thomas Lumley]

On Mon, 4 Aug 2003, [iso-8859-1] Jean Fan wrote:

> 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.

The code in Excel is actually called GRG2 (the 2 does matter). Unlike any
of the methods for optim(), it can handle nonlinear inequality constraints
and does not need a feasible initial solution.

There's a blurb about it in the NEOS optimisation guide:
http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/grg2.html

Judging from this blurb, it will be similar to L-BFGS-B for problems with
no constraints or box constraints.


	-thomas

Thomas Lumley			Assoc. Professor, Biostatistics
tlumley at u.washington.edu	University of Washington, Seattle