[Rcpp-devel] Numerical Optimization in C++

I good numerical optimization library I used before is NLOpt, for non-linear optimization. http://ab-initio.mit.edu/wiki/index.php/NLopt

You can use it just like and C/C++ library in your own code or you can use its own R interface as an R package.

Best,

Yan

On Feb 3, 2013, at 11:47 AM, Simon Zehnder <szehnder at uni-bonn.de> wrote:

Hi fellows,

I am using the RcppArmadillo package and I need in C++ some optimization methods. Before I used always the Scythe Statistical Library which had both: linear algebra and optimization methods. Armadillo has only linear algebra support. 

Now my question: What numerical optimization libraries in C++ do you use, when working with RcppArmadillo? It should be fast! 


Best

Simon