[R] Powell's Metod
tolga at coubros.com
Mon Jan 16 00:38:49 CET 2006
Ah, my apologies. I meant the method outlined in section 10.5 of
Numerical Recipes using Powell's heuristic of discarding the direction
of largest decrease. A nice twist would be if linmin (line
minimization) were to be implemented using the methods described in
10.1-10.3, but that is just a nice-to-have.
From what I understand, Nelder-Mead is the method in section 10.4
(downhill simplex), CG is section 10.6, and BFGS is section 10.7.
Admittedly, optim is fantastic most of the time. However, I have a
factor model over hundreds of elements, where I am trying to back out
the factor distribution and it appears that the method in 10.5 might work.
Thanks in advance in any case,
Prof Brian Ripley wrote:
> (Michael) Powell (of Harwell and Cambridge) invented several
> optimization methods. You will need to give us a precise reference.
> Powell is associated with earlier versions of the Nelder-Mead, CG and
> BFGS methods implemented in optim() but in each case different
> variants have best stood the course of time.
> On Sun, 15 Jan 2006, Tolga Uzuner wrote:
>> Has anyone implemented Powell's Method for minimisation in R ?
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