On 23 December 2014 at 08:21, Hao Ye wrote:
| There are also some minima-finding functions in GSL that you may want to look
| into. The source for RcppGSL might help with a fully c++ version.
Yes. And there are a bazillion optimisation packages on CRAN:
http://cran.r-project.org/web/views/Optimization.html
Several of these are already used in a Rcpp context.
Also, I once needed something similar to what Avi described here, and just
'ripped
out' a simple one-dim optimizer (to compute implied vols for a lot of option
price series quickly, so I took the optmizier from QuantLib) -- and blogged
about it: http://dirk.eddelbuettel.com/blog/2012/10/25/ This isn't all that
hard, and we can probably help Simon here.
A different (and harder to grok at first) take is in RcppDE where I reworked
the DEoptim optimization package (and "ported" from C to C++ wit RcppArmadillo)
and allowed use of user-supplied functions to optimize for -- given as C++
functions. This is likely to confuse Simon now, but some other people have
used this scheme.
Dirk
--
http://dirk.eddelbuettel.com | @eddelbuettel | [email protected]
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