On Tue, Dec 23, 2014 at 12:04 AM, Simon Riddell <simon...@gmail.com> wrote: > Hello, > > I have been judiciously using RCPP for six months, and have had my numerous > questions answered so far from previous threads. I have now run into an > issue I cannot get a handle on: > > I have converted a fairly large (recursive) Kalman filter function from R to > C++ using RCPP. This function is then called within the R optim() function, > subject to constraints, which estimates a set of ~30 parameters. > > My issue occurs within the C++ Kalman Filter function, where, I use the > optimize() function to calculate the yield to maturity rate of various > bonds. I do this by calling back to the R environment to access the > optimize() function. Below is the R Function I create to be used within the > Kalman filter, and below this R function is my method for calling it within > the C++ code. To complicate matters further, the R Function calls a C++ > Function. To clarify: The Kalman Filter C++ code calls an R function, and > this R Function calls an additional separate C++ function. (Code included > below) > > As I iterate the Kalman filter it runs perfectly for anywhere from 30 > minutes to six hours (and produces correct output when matched to the R > code), but it inevitably crashes. From past reading I have done, Dirk has > before mentioned that calling an R function many times within C++ is usually > not a good idea. As a result I suspect this is my issue (the error codes > vary, sometimes mentioning numerical errors, other times recursive errors, > other times random RCPP error codes -- I can document and provide them if > needed) > > My biggest impasse is I cannot figure out a way to complete this without > calling the R optimize() function, and cannot find any RCPP optimize > functions to use instead. Thank you for reading. >
Try this code from R itself: http://www.sourcecodebrowser.com/r-base-core-ra/1.1.1/fmin_8c_source.html _______________________________________________ Rcpp-devel mailing list Rcpp-devel@lists.r-forge.r-project.org https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel
