[R] Poor performance of "Optim"

[Ravi Varadhan]

Hi,

You really need to study the documentation of "optim" carefully before you make broad generalizations.  There are several algorithms available in optim.  The default is a simplex-type algorithm called Nelder-Mead.  I think this is an unfortunate choice as the  default algorithm.  Nelder-Mead is a robust algorithm that can work well for almost any kind of objective function (smooth or nasty). However, the trade-off is that it is very slow in terms of convergence rate.  For simple, smooth problems, such as yours, you should use "BFGS" (or "L-BFGS" if you have simple box-constraints).  Also, take a look at the "optimx" package and the most recent paper in J Stat Software on optimx for a better understanding of the wide array of optimization options available in R.

Best,
Ravi.