[R] Powell's Metod

Tolga Uzuner 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 ?

More information about the R-help mailing list