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Jul 23

R Optimization Test

Posted by abiao at 10:12 | Code » R/Splus | Comments(2) | Reads(8268)
I have tested several R optimization functions before: nlm, optim(Nelder-Mead), optim(BFGS), optim(SANN), nlminb, optim (L-BFGS-B) for a eight-parameter Vasicek interest rate model, overall I find that for my setting, nlminb is the best and all R functions finish within seconds. For detail please read the old post at R optimization function test



Pat at Portfolio Probe recently had a wonderful test on some heuristic optimization methods, including simulated annealing, traditional genetic algorithm, evolutionary algorithms. By using R packages and functions - Rmalschains, GenSA, genopt, DEoptim, soma, rgenoud, GA, NMOF and SANN method of optim, he finds that the Rmalschains and GenSA packages are standing out. Nice one, original article is at A comparison of some heuristic optimization methods.


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Not sure if you control the excessive advertising on your page but it's made your post unreadable.

http://img109.imageshack.us/img109/7429/screenshot20120724at839.png
thanks for your kind remind, I've re-placed the ad unit, hope it looks better.
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