[R] optimization problem

[Mike Prager]

"Hans W. Borchers" <hwborchers at googlemail.com> wrote:

> Why not use one of the global optimizers in R, for instance 'DEoptim', and
> then apply optim() to find the last six decimals? I am relatively sure that
> the Differential Evolution operator has a better chance to come near a
> global optimum than a loop over optim(), though 'DEoptim' may be a bit slow
> (only for quite large numbers of parameters).
 
Thanks for the reference. I will see if 'DEoptim' might be
useful in future problems.

HWB asked, why not use 'DEoptim' rather than a loop? Perhaps
that's a rhetorical question, but I'll answer it anyway, in the
context of the specific problem I am solving. (1) I did not know
that 'DEoptim' existed. (2) After starting a problem with 'nls',
I changed its structure slightly, which meant a change to
'optim'. Because the two functions have totally different
syntaxes, it was necessary to rewrite the entire script and its
supporting functions. Adding a loop was much simpler than
looking for yet *another* optimizer in R. (3) In the current
problem, perhaps 97 of 100 runs of 'optim' come to the same
solution (the best one found). That suggests that this is not a
terribly difficult problem and that there is little to be gained
by employing a different approach.

SOMEONE once posted about an R function that masked the syntax
differences among (at least some) R optimizers. That surely
would lower the barrier to switching among them. I've lost that
post, and my search has not turned it up. If that poster is
reading this, would you please respond with the information?

ALSO, is anyone aware of any document comparing the various
optimizers available in R (even in core R)?  What are the
different intended applications, and when would each be
preferred? There is some helpful material in MASS 4, but I am
hoping for something more recent and detailed.


-- 
Mike Prager, NOAA, Beaufort, NC
* Opinions expressed are personal and not represented otherwise.
* Any use of tradenames does not constitute a NOAA endorsement.