[R] Powell's Metod

[Ravi Varadhan]

Tolga,

Have you considered an EM algorithm for your factor analysis problem?  A
reference for this is:

Rubin, D. and Thayer, D. (1982). EM algorithms for ML factor analysis.
Psychometrika, 47(1):69--76. 

Hope this is helpful,
Ravi.

> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch [mailto:r-help-
> bounces at stat.math.ethz.ch] On Behalf Of Prof Brian Ripley
> Sent: Monday, January 16, 2006 9:31 AM
> To: Tolga Uzuner
> Cc: r-help at stat.math.ethz.ch
> Subject: Re: [R] Powell's Metod
> 
> 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 ?
> >>
> >>
> >
> > ______________________________________________
> > R-help at stat.math.ethz.ch mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide! http://www.R-project.org/posting-
> guide.html
> >
> 
> --
> 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
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-
> guide.html