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

Thomas Lumley tlumley at
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	University of Washington, Seattle

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