[R] Powell's Metod

[Prof Brian Ripley]

I am not aware of an R implementation of that method.  However, if you 
meet the licensing conditions (which for my copy of NR do not allow me to 
use the code on a Unix machine even if I typed it in) you could interface 
to the NR C/C++ routines.

On Sun, 15 Jan 2006, Tolga Uzuner wrote:

> 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,
> Tolga
>
> 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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-- 
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)
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