optim with gradient

On Thu, 21 Mar 2002, Adrian Trapletti wrote:

[...]

If the only goal is to improve speed, then you should consider to do
the full optimization within C/Fortran, i.e., to implement the errfunc
and the gradient in C and to call optim through the API (a new feature
of the upcoming version 1.5.0 as Brian told me). This may increase speed
- I just make a rough guess now - by a factor 100.

I can hardly wait! I already make the heavy calculations in Fortran, so it
should be easy to implement.

I am not sure what you mean by doing the heavy calculations in Fortran. But I

guess the errfunc (and gradient) are defined in R and itself call Fortran
code using .Fortran()? That?s already more performant, but also then you
should avoid that optim calls an R function. It completely "destroys" the
performance.

Is the feature in R-devel now?

Yes.

And documented?

I don?t know. Ask Brian. But I think it should be pretty easy to figure out
how to call optim and how optim calls your functions from the header file.

Adrian



-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !)  To: r-help-request at stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._