[Rd] Improved Nelder-Mead algorithm - a potential replacement for optim's Nelder-Mead
Barry Rowlingson
b.rowlingson at lancaster.ac.uk
Sat Mar 6 14:04:08 CET 2010
On Fri, Mar 5, 2010 at 8:26 PM, Ravi Varadhan <rvaradhan at jhmi.edu> wrote:
> Hi,
>
> 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.
By 'in R' do you mean 'written in R' or 'in the R package as you get
from CRAN'?
I think the terms and conditions of that permission would need to be
studied if the code can be redistributed and modified, who holds the
copyright, can it be stuck in with R under an open license and so
on...
> Therefore, speed gains could be achieved if translated into C (I am not proficient in C).
Not necessarily - if most of the time is spent in the objective
function then even an instantaneous implementation isn't going to
speed things up enough to be worthwhile. More R users know R than C so
the R implementation is always going to be more useful for R users to
study, tweak, and possibly improve!
Sounds good though!
Barry
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