[R-SIG-Finance] Optimize question

[Moshe Olshansky]

This may depend on your problem: how many dimensions do you have, is it a constrained or unconstrained optimization, does your function have smooth first (and second) derivatives, can you compute them analytically, etc.?


--- On Thu, 17/7/08, Matthias.Koberstein at hsbctrinkaus.de <Matthias.Koberstein at hsbctrinkaus.de> wrote:

> From: Matthias.Koberstein at hsbctrinkaus.de <Matthias.Koberstein at hsbctrinkaus.de>
> Subject: [R-SIG-Finance] Optimize question
> To: r-sig-finance at stat.math.ethz.ch
> Received: Thursday, 17 July, 2008, 12:48 AM
> 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
> 
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