About the efficiency of R optimization function
popo UBC wrote:
Hi Charlie, Thank you so much for suggestions!! Actually, I used the optimization toolbox in MABLAB before and I even wrote some numerical optimization programs by myself. As far as I know, some commercial optimization softwares had already replaced L-BFGS-B by more advanced algorithms, such as interior point method, SQP(sequential quadratic programming), implemented under trust region strategy. So, - Have you ever tried these techniques? Are they available in R already? - In your previous experieces, did R work satisfactory? I mean, was it often that R failed to converge or spent too much time? - Mainly, I need to calculate the MLE. But I really have no idea what the likelihood may looks like. According to your experiences, would the likelihood function be too complicated? Is L-BFGS-B good enough? Thanks again!! Popo
Hi Popo, Truthfully, I do not have much direct experience with the R optim function. For my linear optimization needs I usually use a package called HOPDM which implements an interior point method. For nonlinear problems I use MINOS which relies on conjugate gradients and interfaces nicely with the simulation models I use in my field of study. I have however taken a groundwater course where the class was assigned an optimization problem concerning water supply. The objective function was nonlinear and contained tens or hundreds of variables depending on the level of discretization used in the numerical model. Some students used MINOS, others used MATLAB and a few used R. All three packages generated similar results. If you are solving a maximum likelyhood problem, check out the mle function in the stats4 package- it appears to be a front-end to optim which is designed to tackle these sorts of problems. And, as I noted before, it is possible to call a C or Fortran optimizer that you trust from within R. Compared to my experience with MATLAB, calling an external Fortran routine was an absolute walk in the park with R. Good luck! -Charlie ----- Charlie Sharpsteen Undergraduate Environmental Resources Engineering Humboldt State University
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