Message-ID: <903158.39182.qm@web32204.mail.mud.yahoo.com>
Date: 2008-07-16T23:33:36Z
From: Moshe Olshansky
Subject: Optimize question
In-Reply-To: <OF96DBC418.0EB2107C-ONC1257488.0050E085-C1257488.00515AFA@hsbctrinkaus.de>
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
>
> **** Ressourcen schonen, weniger drucken - Think before you
> print! ****
>
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