[R] fast optimization routines in R

ppinger pinger at uni-mannheim.de
Mon Feb 7 21:44:45 CET 2011


Dear R help archive group, 
I am looking for a maximization routine that I can use to maximize a large
variety of relatively complex likelihoods. I undertand (from previous posts)
that coding the objective function more efficiently can help. However, the
optimization routine employed seems important too. So far, I have tried the
optimization routines optim, maxlik, trust and nlminb. The latter two are
much faster than the first ones but nevertheless, it seems to me as if these
routines were rather slow, when compared to some of the optimizers in
MATLAB.
Is there any general advice you can give about which optimization routines
in R tend to be particularly fast?
Thank you very much, 
Pia
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