[R] Fast optimizer

Bill.Venables at csiro.au Bill.Venables at csiro.au
Fri Oct 30 02:09:32 CET 2009

Dear R_Help Help,

The critical questions are 
a) how many parameters do you have 
b) how pathological is the log-likelihood function
c) how good are your initial values and 
d) how efficiently have you coded your objective function?

Of these, the last is most likely the critical one, and the one you should be looking at first.  

(and consider suing your parents for giving you such a name.)

Bill Venables.
From: r-help-bounces at r-project.org [r-help-bounces at r-project.org] On Behalf Of R_help Help [rhelpacc at gmail.com]
Sent: 30 October 2009 10:22
To: r-help at r-project.org; r-sig-finance at stat.math.ethz.ch
Subject: [R] Fast optimizer


I'm using optim with box constraints to MLE on about 100 data points.
It goes quite slow even on 4GB machine. I'm wondering if R has any
faster implementation? Also, if I'd like to impose
equality/nonequality constraints on parameters, which package I should
use? Any help would be appreciated. Thank you.


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