[R-SIG-Finance] Optimize question

[Patrick Burns]

Also note that there is convergence, and convergence
to an answer that is good enough.


Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Wayne.W.Jones at shell.com wrote:
> Hi, 
>
> 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. 
>
>
> Regards
>
> Wayne
>
>
>
> -----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
>
>
>
> Hi,
>
> 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",
> "L-BFGS-B", "SANN")
> but which one is the fastest? Does anyone have eperience with that?
>
> Thank you very much in advance
>
> Matthias
>
> **** Ressourcen schonen, weniger drucken - Think before you print! ****
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