Hi Charlie,

Thank you so much for suggestions!!

Actually, I used the optimization toolbox in MABLAB before and I even wrote
some numerical optimization programs by myself. As far as I know, some
commercial optimization softwares had already replaced L-BFGS-B by more
advanced algorithms, such as interior point method, SQP(sequential quadratic
programming), implemented under trust region strategy. So,

   - Have you ever tried these techniques? Are they available in R already?
   - In your previous experieces, did R work satisfactory? I mean, was it
   often that R failed to converge or spent too much time?
   - Mainly, I need to calculate the MLE. But I really have no idea what the
   likelihood may looks like. According to your experiences, would the
   likelihood function be too complicated? Is L-BFGS-B good enough?

 Thanks again!!

Popo

2009/5/14 cls59 <sharpsteen@mac.com>

>
>
> popo UBC wrote:
> >
> > Hi all!
> >
> > The objective function I want to minimize contains about 10 to 20
> > variables,
> > maybe more in the future. I never solved such problems in R, so I had no
> > idea about the efficiency of R's optimization functions. I know doing
> loop
> > in R is quite slow, so I am not sure whether this shortage influences the
> > speed of R's optimization functions.
> >
> > I would be very appreciated if anyone could share some experiences with
> > me.
> > The speed, stability of the R's optimization functions. Is it helpful to
> > call a C/Fortran code to do the job, if possible.
> >
> > Many thanks in advance.
> >
> > Popo
> >
> >
>
>
> Many functions available in R are implemented using a compiled language
> such as C or Fortran- not the R language it's self. For example, the
> "Source"
> section of the help page for optim states that the code for the
> Nelder-Mead,
> BFGS and Conjugate Gradient methods were translated to C from Pascal and
> then further optimized. The L-BFGS-B method appears to be implemented as
> Fortran code.
>
> Looking at the source of the optim function reveals that results are
> computed by a call to .Internal(). Such calls usually indicate that R is
> handing computations off to a compiled, rather than interpreted, routine.
>
> If you have C or Fortran code you would prefer to use, take a look at the
> help pages for .C() and .Fortran() as well as the "Writing R Extensions"
> manual. The command line tool R CMD SHLIB will help you compile your code
> to
> shared libraries that can be loaded by R using dyn.load().
>
> -Charlie
>
>
>
>
> -----
> Charlie Sharpsteen
> Undergraduate
> Environmental Resources Engineering
> Humboldt State University
> --
> View this message in context:
> http://www.nabble.com/About-the-efficiency-of-R-optimization-function-tp23552061p23552668.html
> Sent from the R help mailing list archive at Nabble.com.
>
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