[R] Optimization function

Amit Thombre amitmt at techmahindra.com
Fri Nov 21 07:07:42 CET 2014


I want to optimize the root mean square error objective function using the optim function. Thus the function will look like sqrt(sum((yi - f(xi))^2)/n). Now the f(xi) is the Arima function.  I am not clear how do I get the f(xi) because the call to arima function in C gives the value of the arima function which takes in the entire vector x, or do I restrict the value of x  to the arima function in C. That is for getting he f(x1) value give only x1 as the input to arima, for getting f(x2) give only x1 and x2 as input to arima function in C.

Any help on this will be highly appreciated.


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