High dimensional optimization in R
Hi, Sarah Goslee (jn reply to? Basic optimization question (I'm a rookie)):? "R is quite good at optimization." I wonder what is the experience of the R user community with high dimensional problems, various objective functions and various numerical methods in R. In my experience with my package CatDyn (which depends on optimx), I have fitted nonlinear models with nearly 50 free parameters using normal, lognormal, gamma, Poisson and negative binomial exact loglikelihoods, and adjusted profile normal and adjusted profile lognormal approximate loglikelihoods. Most numerical methods crash, but CG and spg often, and BFGS, bobyqa, newuoa and Nelder-Mead sometimes, do yield good results (all numerical gradients less than 1)? after 1 day or more running in a normal 64 bit PC with Ubuntu 16.04 or Windows 7. Ruben
Ruben H. Roa-Ureta, Ph. D. Consultant, ORCID ID 0000-0002-9620-5224 Marine Studies Section, Center for Environment and Water, Research Institute, King Fahd University of Petroleum and Minerals, KFUPM Box 1927, Dhahran 31261, Saudi Arabia Office Phone : 966-3-860-7850 Cellular Phone : 966-540026401