Powell's Metod

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Powell's Metod

 Folks, Has anyone implemented Powell's Method for minimisation in R ? Many thanks, Tolga ______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
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Re: Powell's Metod

 (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 ? -- Brian D. Ripley,                  [hidden email] 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 ______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
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Re: Powell's Metod

 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 ? > > ______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
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Re: 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 ? >> >> > > ______________________________________________ > [hidden email] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html> -- Brian D. Ripley,                  [hidden email] 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 ______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide! http://www.R-project.org/posting-guide.html