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

[Wayne.W.Jones at shell.com]

Thanks for the feedback,

Interesting to see the difference in the methods. 

If you play with the convergence criteria then you may well improve on these times. Sometimes the optim algortithms search hard for a very small change in objective value and effectiveley only change the final parameter estimates by miniscule amounts. 

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: 17 July 2008 13:41
To: m_olshansky at yahoo.com
Cc: r-sig-finance at stat.math.ethz.ch;
r-sig-finance-bounces at stat.math.ethz.ch
Subject: [R-SIG-Finance] Antwort: Re: Optimize question


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
__________________________________
HSBC Trinkaus
Structured Solutions Group
Königsalle 21/23, 40212 Düsseldorf

Phone: +49 211 910 4412
e-mail: matthias.koberstein at hsbctrinkaus.de



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             Moshe Olshansky                                               
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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
>
> **** Ressourcen schonen, weniger drucken - Think before you
> print! ****
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