Re: [R] Excel can do what R can't?????
tlumley at u.washington.edu
Mon Aug 4 17:30:01 CEST 2003
On Mon, 4 Aug 2003, [iso-8859-1] Jean Fan wrote:
> 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.
The code in Excel is actually called GRG2 (the 2 does matter). Unlike any
of the methods for optim(), it can handle nonlinear inequality constraints
and does not need a feasible initial solution.
There's a blurb about it in the NEOS optimisation guide:
Judging from this blurb, it will be similar to L-BFGS-B for problems with
no constraints or box constraints.
Thomas Lumley Assoc. Professor, Biostatistics
tlumley at u.washington.edu University of Washington, Seattle
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