This issue has been known for some time and I've had "why don't you fix
this?" queries. However, I'm not one of the R-core folk who could do so,
and don't code in C. Moreover, as far as I can tell, the version of
L-BFGS-B in R is not one of the standard releases from Morales and Nocedal.
As maintainer of optimx, I can state that I won't be including L-BFGS-B
except through optim() unless someone implements the new code as a
package, which I would welcome. I've decided to focus only on codes
written all in R. For bounds constrained optimization, I've put together
Rvmmin which is the "BFGS" method of optim() (a misnomer, but I'd better
not get started...) and Rcgmin. I've got my brother's truncated Newton
code running unconstrained, but still trying to find time to get the
bounds debugged. I find codes in R more flexible in allowing
improvements, and easier to avoid those nasty mismatches in coding style
that happen across languages.
I'd be glad to collaborate with anyone on getting latest L-BFGS-B
packaged, or on improvements to the TNmin etc. And, of course, I welcome
examples where things don't work smoothly in my codes.
There are upgrades to optimx on R-forge that will not likely move to
CRAN for a few months until TN is completed and added etc.
Best, JN
On 13-10-10 06:00 AM, r-devel-requ...@r-project.org wrote:
Message: 1
Date: Wed, 9 Oct 2013 15:46:40 +1000
From: David Duffy<david.du...@qimr.edu.au>
To:<r-devel@r-project.org>
Subject: [Rd] Version of L-BFGS-B used in optim etc
Message-ID:<alpine.lmd.2.00.1310091458420....@orpheus.qimr.edu.au>
Content-Type: text/plain; format=flowed; charset="US-ASCII"
Hi.
I just noticed the paper by Morales and Nocedal
Remark on "Algorithm 778: L-BFGS-B: Fortran Subroutines for Large-Scale
Bound Constrained Optimization". TOMS 2011; 38(1): 7
http://www.ece.northwestern.edu/~morales/PSfiles/acm-remark.pdf
which describes a couple of improvements (speed and accuracy) to the
original Netlib code which AFAICT is that still used by optim()
via f2c. Updated code is under
http://www.ece.northwestern.edu/~nocedal/lbfgsb.html
released under the New BSD License. Has this already been made available
in R, perhaps in other packages such as optimx?
Cheers, David Duffy.
| David Duffy (MBBS PhD) ,-_|\
| email:dav...@qimr.edu.au ph: INT+61+7+3362-0217 fax: -0101 / *
| Epidemiology Unit, Queensland Institute of Medical Research \_,-._/
| 300 Herston Rd, Brisbane, Queensland 4029, Australia GPG 4D0B994A v
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