[R] Powell's Metod
Prof Brian Ripley
ripley at stats.ox.ac.uk
Mon Jan 16 15:31:14 CET 2006
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,
> 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)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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