Tolga, Have you considered an EM algorithm for your factor analysis problem? A reference for this is:
Rubin, D. and Thayer, D. (1982). EM algorithms for ML factor analysis. Psychometrika, 47(1):69--76. Hope this is helpful, Ravi. > -----Original Message----- > From: [EMAIL PROTECTED] [mailto:r-help- > [EMAIL PROTECTED] On Behalf Of Prof Brian Ripley > Sent: Monday, January 16, 2006 9:31 AM > To: Tolga Uzuner > Cc: [email protected] > Subject: Re: [R] 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 ? > >> > >> > > > > ______________________________________________ > > [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 ______________________________________________ [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
