[R-SIG-Finance] Optimize question

Wayne.W.Jones at shell.com Wayne.W.Jones at shell.com
Wed Jul 16 17:04:49 CEST 2008


Nelder and Mead is slow to converge but has the advantage that objective function derivatives need not be calculated. 

Sometimes speed to convergence is dependent on the problem in hand, so I suggest you set up a test optimisation and try each method in turn to benchmark each method. 



-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch]On Behalf Of
Matthias.Koberstein at hsbctrinkaus.de
Sent: 16 July 2008 15:49
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Optimize question


I use the command optim and optimize in a function.
Unfortunatley the standard method needs a lot of time and in accordance to
the manual is the slowest (Nelder-Maed).
A more "dirty" optimization qould be sufficient for my purposes as long as
it is faster. The function provides 4 other methods ("BFGS", "CG",
but which one is the fastest? Does anyone have eperience with that?

Thank you very much in advance


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