[R] Need some advice on optimization

From: Wijffels, Jan <jan.wijffels_at_thomascook.be>
Date: Thu, 20 Nov 2008 13:57:19 +0100


I'm quite new to optimization algorithms and I could use some advice or pointers. I'm using ?optim (method L-BFGS-B) to optimize a function over a 60-dimensional parameter space. The function itself takes about 1 to 6 minutes to compute. It finds an optimum after 6 tot 24 hours, depending on the problem I need to solve. For me, speed is an issue and I would like to reduce this to 1 hour.

Hence my question:: are there optimization algorithms that are particularly useful for settings where the evaluation of the function takes a lot of time to compute?    

Thanks in advance,


Jan Wijffels

Statistical Analyst

www.thomascook.be | +32 9 241 1709  

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