[R] Powell's Metod

tolga@coubros.com tolga at coubros.com
Mon Jan 16 16:36:57 CET 2006


Many thanks, let me look,
Tolga

Quoting Ravi Varadhan <rvaradhan at jhmi.edu>:

> 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
>
>




More information about the R-help mailing list