[R-SIG-Finance] Antwort: Re: Optimize question

[Matthias.Koberstein at hsbctrinkaus.de]

Dear all,

thank you for your help regarding the optim speed question.
I just wanted to share my results with you.
After testing all optimization methods, the BFGS algorithm proved the
fastest by quite a bit.
The algorithms performances on a three dimensional problem with ~2200
observations were

BFGS 0:44 min.
L-BFGS -B 1:06 min
NM: 1:28 minutes
CS >3 min.
SANN >3 min.

(all with default convergence)

Matthias S. Koberstein
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Structured Solutions Group
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Phone: +49 211 910 4412
e-mail: matthias.koberstein at hsbctrinkaus.de



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             Moshe Olshansky                                               
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             HSBCTuB                     Re: [R-SIG-Finance] Optimize      
             17.07.2008 01:35            question                          
                                                                           
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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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