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 ? >> >> > > ______________________________________________ > [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 > -- Brian D. Ripley, [EMAIL PROTECTED] 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 ______________________________________________ [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
