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