Re: [R] Excel can do what R can't?????

Prof Brian Ripley ripley at
Mon Aug 4 14:39:57 CEST 2003

On Mon, 4 Aug 2003, Jean Fan wrote:

> Dear Professor Ripley,
> I'm little confused of your reply: do you mean that GRG would 
> not be a standard optimization algorithm, so it couldn't be 
> better than what exist in R ?

Not at all.  I meant what I actually said (and I said nothing about which
was better).  To spell it out:

First optim() has five different methods, so Excel's could be at most 
essentially the same as *one* of them.

Second, none of them are called GRG2 by their authors.

Third, GRG2 by that name does not appear in the index of my books.

> I'm not a specialist of numerical optimization algorithms,
> but it seems that GRG is actually implemented in several
> specialized optimisation toolbox (sure generally commercial), 
> not only the limited one in Excel. 
> And with google, search "GRG generalized reduced gradient" is 
> giving 424 links. 

So now you will be able to work out how it differs, it at all, from the 
methods of R (which are fully documented).

But looking at just the first reference suggests that GRG is not intended 
for unconstrained or box-constrained problems, those covered by optim(),
and that it is a class of methods rather than an actual algorithm.

> --
> Fan
> > I've found that the discussions are interesting, generally 
> > speaking, peoples seem equally confident on R's optim/nlm and 
> > Excel's solver.
> > 
> > The authors of the algorithm GRG2 (Generalized Reduced Gradient)
> > are not cited in the documentation of optim(), so I'm wondering if
> > the optimization algorithm implemented in Excel is "fondamentally"
> > the same than that in R ?
> I don't suppose Excel cites the method*s* used in optim() either,
> but GRG2 is not in the index of my copies of any of the standard texts on numerical optimization.

Brian D. Ripley,                  ripley at
Professor of Applied Statistics,
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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