Re: [R] Excel can do what R can't?????
Prof Brian Ripley
ripley at stats.ox.ac.uk
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.
> > 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 stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
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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