There is a quite well-developed but not terribly large C program
for conjugate gradients and similar approaches to optimization I would
like to wrap in a package for use in R. I would then build this into the
optimx package I maintain. I suspect that the approach may turn out to be
one of the most efficient for large-n problems.
However, my skills with C and C++ are essentially knowing how to mimic
existing code, and I would welcome collaboration or help to build the
package, likely using Rcpp. Possibly this would be a suitable term
project in a stat. computing course. I'm more than happy to share my
expertise on the optimization side, or with other computing languages,
particularly Fortran.
To reduce noise on the list, I'll suggest off-line contact to the
address above (profjcnash _at_ gmail.com).
Best, JN