Re: [R] Powell's Metod

From: Ravi Varadhan <rvaradhan_at_jhmi.edu>
Date: Tue 17 Jan 2006 - 01:45:02 EST


Tolga,

Have you considered an EM algorithm for your factor analysis problem? A reference for this is:

Rubin, D. and Thayer, D. (1982). EM algorithms for ML factor analysis. Psychometrika, 47(1):69--76.

Hope this is helpful,
Ravi.

> -----Original Message-----
> From: r-help-bounces@stat.math.ethz.ch [mailto:r-help-
> bounces@stat.math.ethz.ch] On Behalf Of Prof Brian Ripley
> Sent: Monday, January 16, 2006 9:31 AM
> To: Tolga Uzuner
> Cc: r-help@stat.math.ethz.ch
> Subject: Re: [R] Powell's Metod
>
> 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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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Tue Jan 17 01:53:36 2006

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