[R] Optimization algorithm to be applied to S4 classes - specifically sparse matrices

spencerg spencer.graves at prodsyse.com
Fri May 15 04:52:06 CEST 2009

      Have you considered the following: 

            solve(qr(A), B)

      I have not tried this with a small toy example, and the "qr" 
documentation in the Matrix package seems to suggest it.  This solves 
the optimization problem you mentioned, as noted in 

      Another alternative is the "biglm" function in the package of the 
same name.  I have not tried this either, but it looks like it should 

      Hope this helps. 
      Spencer Graves

Avraham.Adler at guycarp.com wrote:
> Hello.
> I am trying to optimize a set of parameters using /optim/ in which the
> actual function to be minimized contains matrix multiplication and is of
> the form:
> SUM ((A%*%X - B)^2)
> where A is a matrix and X and B are vectors, with X as parameter vector.
> This has worked well so far. Recently, I was given a data set A of size
> 360440 x 1173, which could not be handled as a normal matrix. I brought it
> into 'R' as a sparse matrix (dgCMatrix - using sparseMatrix from the Matrix
> package), and the formulæ and gradient work, but /optim/ returns an error
> of the form "no method for coercing this S4 class to a vector".
> After briefly looking into methods and classes, I realize I am in way over
> my head. Is there any way I could use /optim/ or another optimization
> algorithm, on sparse matrices?
> Thank you very much,
> --Avraham Adler
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