[R] optim with gradient
adrian.trapletti at lmttrading.com
Thu Mar 21 12:00:49 CET 2002
Göran Broström wrote:
> On Thu, 21 Mar 2002, Adrian Trapletti wrote:
> > If the only goal is to improve speed, then you should consider to do
> > the full optimization within C/Fortran, i.e., to implement the errfunc
> > and the gradient in C and to call optim through the API (a new feature
> > of the upcoming version 1.5.0 as Brian told me). This may increase speed
> > - I just make a rough guess now - by a factor 100.
> I can hardly wait! I already make the heavy calculations in Fortran, so it
> should be easy to implement.
I am not sure what you mean by doing the heavy calculations in Fortran. But I
guess the errfunc (and gradient) are defined in R and itself call Fortran
code using .Fortran()? That´s already more performant, but also then you
should avoid that optim calls an R function. It completely "destroys" the
> Is the feature in R-devel now?
> And documented?
I don´t know. Ask Brian. But I think it should be pretty easy to figure out
how to call optim and how optim calls your functions from the header file.
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