Re: [R] Powell's Metod

From: Tolga Uzuner <tolga_at_coubros.com>
Date: Mon 16 Jan 2006 - 10:38:49 EST

Ah, my apologies. I meant the method outlined in section 10.5 of Numerical Recipes using Powell's heuristic of discarding the direction of largest decrease. A nice twist would be if linmin (line minimization) were to be implemented using the methods described in 10.1-10.3, but that is just a nice-to-have.

 From what I understand, Nelder-Mead is the method in section 10.4 (downhill simplex), CG is section 10.6, and BFGS is section 10.7.

Admittedly, optim is fantastic most of the time. However, I have a factor model over hundreds of elements, where I am trying to back out the factor distribution and it appears that the method in 10.5 might work.

Thanks in advance in any case,
Tolga

Prof Brian Ripley wrote:

> (Michael) Powell (of Harwell and Cambridge) invented several
> optimization methods. You will need to give us a precise reference.
>
> Powell is associated with earlier versions of the Nelder-Mead, CG and
> BFGS methods implemented in optim() but in each case different
> variants have best stood the course of time.
>
> On Sun, 15 Jan 2006, Tolga Uzuner wrote:
>
>> Has anyone implemented Powell's Method for minimisation in R ?
>
>



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