Re: [R] Powell's Metod

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Tue 17 Jan 2006 - 01:31:14 EST

I am not aware of an R implementation of that method. However, if you meet the licensing conditions (which for my copy of NR do not allow me to use the code on a Unix machine even if I typed it in) you could interface to the NR C/C++ routines.

On Sun, 15 Jan 2006, Tolga Uzuner wrote:

> 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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-- 
Brian D. Ripley,                  ripley@stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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Received on Tue Jan 17 01:41:44 2006

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