Optimize question
This may depend on your problem: how many dimensions do you have, is it a constrained or unconstrained optimization, does your function have smooth first (and second) derivatives, can you compute them analytically, etc.?
--- On Thu, 17/7/08, Matthias.Koberstein at hsbctrinkaus.de <Matthias.Koberstein at hsbctrinkaus.de> wrote:
From: Matthias.Koberstein at hsbctrinkaus.de <Matthias.Koberstein at hsbctrinkaus.de>
Subject: [R-SIG-Finance] Optimize question
To: r-sig-finance at stat.math.ethz.ch
Received: Thursday, 17 July, 2008, 12:48 AM
Hi,
I use the command optim and optimize in a function.
Unfortunatley the standard method needs a lot of time and
in accordance to
the manual is the slowest (Nelder-Maed).
A more "dirty" optimization qould be sufficient
for my purposes as long as
it is faster. The function provides 4 other methods
("BFGS", "CG",
"L-BFGS-B", "SANN")
but which one is the fastest? Does anyone have eperience
with that?
Thank you very much in advance
Matthias
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