[R] Poor performance of "Optim"

Marc Girondot marc_grt at yahoo.fr
Sat Oct 1 12:04:57 CEST 2011


Le 01/10/11 08:12, yehengxin a écrit :
> I used to consider using R and "Optim" to replace my commercial packages:
> Gauss and Matlab.  But it turns out that "Optim" does not converge
> completely.
What it means "completely" ?
> The same data for Gauss and Matlab are converged very well.  I
> see that there are too many packages based on "optim" and really doubt if
> they can be trusted!
>
>
I don't understand the "too many". If a package needs an optimization, 
it is normal that it uses optim !

I use the same model in r, Excel solver (the new version is rather good) 
or Profit (a mac software, very powerful) and r is rather one of the 
best solution. But they are many different choices that can influence 
the optimization. You must give an example of the problem.
I find some convergence problem when the criteria to be minimized is the 
result of a stochastic model (ie if the same set of parameters produce 
different objective value depending on the run). In this case the fit 
stops prematurely and the method SANN should be preferred.
In conclusion, give us more information but take into account that 
non-linear optimization is a complex world !
Marc


-- 
__________________________________________________________
Marc Girondot, Pr

Laboratoire Ecologie, Systématique et Evolution
Equipe de Conservation des Populations et des Communautés
CNRS, AgroParisTech et Université Paris-Sud 11 , UMR 8079
Bâtiment 362
91405 Orsay Cedex, France

Tel:  33 1 (0)1.69.15.72.30   Fax: 33 1 (0)1.69.15.73.53
e-mail: marc.girondot at u-psud.fr
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Skype: girondot



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