[R] optimization with Sparse matrices

[Berend Hasselman]

Dube, Jean-Pierre wrote:
> 
> To whom it may concern,
> 
> I am trying to maximize a log-likelihood function using optim.  This is a
> simple problem with only 18 parameters.  To conserve memory, I am using
> sparse matrices (SLAM) for some of the data matrices used in the
> computation of the likelihood.  However, optim appears to convert the
> sparse matrix back to regular data format.  This causes me to run out of
> memory as R tries to create an 8GB matrix.  In short, it does not look as
> though "optim" is compatible with sparse matrices.  Does anyone have a
> suggestion for how I can maximize a function in R using sparse matrices
> for some of the data inputs?
> 

Have a look at BB.

Berend


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