[R-SIG-Finance] Looking for a fast convergence methodology

[Jeff Ryan]

Yes,

Nothing at all to do with finance. The reason we emphasize "finance"
on the finance list is two-fold:

1) to remove noise that is not *unique* to finance and
2) to encourage general questions to go to a general audience that
will likely be better able to assist in possibly more creative ways.

To highlight the latter:

?optim

I am sure you will get a better reply to your general optimization
question than that on R-help.

HTH
Jeff

On Tue, Mar 23, 2010 at 12:09 PM, Jorge Nieves
<jorge.nieves at moorecap.com> wrote:
>
> Hi all,
>
> First I would like to apologize if my question seems to be out of the
> scope of this list. It is part of a Finacial model that I am working on.
>
> I have a model in a  functional format:
>
> Result  = mymodel(x,y)
>
> I would like to run the model for a range of values for both variables
> "x" and "y". The number of possible combination of x and y spans several
> thousand possible scenarios. My goal is to find the best possible
> outcome out of all the different possibilities. I am able to setup  and
> run this exhaustively,  but it takes too long to cover the
> possibilities. I even have a parallel process set up, but it still takes
> too long.
>
> I know my description might be  a bit too general, but I was wondering
> if anyone might have suggestions as what approaches I could experiment.
> I am looking  for some technique that might help to find fast
> convergence without the need to having to exhaust each of the
> possibilities.
>
> Thanks,
>
> Jorge Nieves
>
>
>
>        [[alternative HTML version deleted]]
>
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com