[Rd] Improved Nelder-Mead algorithm - a potential replacement for optim's Nelder-Mead
rvaradhan at jhmi.edu
Fri Mar 5 21:26:08 CET 2010
I have written an R translation of C.T. Kelley's Matlab version of the Nelder-Mead algorithm. This algorithm is discussed in detail in his book "Iterative methods for optimization" (SIAM 1999, Chapter 8). I have tested this relatively extensively on a number of smooth and non-smooth problems. It performs well, in general, and it almost always outperforms optim's implementation of Nelder-Mead. I have obtained written permissions from both SIAM (publishers of Kelley's text) and from C.T. Kelley himself to make this publicly available in R.
I have been planning on releasing this function either as a separate package or as one of the algorithms in a package containing derivative-free methods. However, it was recently suggested to me by Soren Hosgaard that a better option would be to incorporate this as part of `optim' itself, either replacing existing Nelder-Mead or as another `method' in optim, so that it will be more widely used. Would anyone from the R-core be interested in incorporting this into optim? It should be mentioned that my code is entirely written in R. Therefore, speed gains could be achieved if translated into C (I am not proficient in C).
Ravi Varadhan, Ph.D.
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University
Ph. (410) 502-2619
email: rvaradhan at jhmi.edu
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