Dear all, Thank you for your responses. I will look into the resources and code you have shared and hopefully I can figure something out! I appreciate your time and help.
Simon On Fri, Jan 2, 2015 at 12:45 PM, Mark Clements <[email protected]> wrote: > Alternatively, one could use the code for Brent_fmin() from the stats > library (e.g. > > https://github.com/lgautier/R-3-0-branch-alt/blob/master/src/library/stats/src/optimize.c > ). > I have done this for the rstpm2 library > (https://github.com/mclements/rstpm2/blob/develop/src/c_optim.cpp). > > This does use a C API, so I would not argue that it is "best practice". > However, using templates and function objects, this can be comparatively > general. > > An inline example is below. > > require(Rcpp) > require(inline) > src <- " > #include <Rcpp.h> > #include <float.h> /* DBL_EPSILON */ > // From the URLs above, insert the definition for: > // double Brent_fmin(double ax, double bx, double (*f)(double, void *), > // void *info, double tol); > // > // An example > struct Model { > double a,b; > double operator()(double x) { > return pow(log(x) - a,2) + b; > } > }; > Model model = {1.0,2.0}; > // template to use a function object (functor) with Brent_fmin() > template<class T> > double Brent_fmin_functor(double x, void * par) { > T * model = (T *) par; > return model->operator()(x); > } > //[[Rcpp::export]] > double test_optimise() { > return Brent_fmin(0.001,10.0,&Brent_fmin_functor<Model>,(void *) > &model,1.0e-10); > } > " > sourceCpp(code=src) > test_optimise() > > Kindly, Mark. > > On 12/23/2014 02:48 PM, Dirk Eddelbuettel wrote: > > 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 > > > > _______________________________________________ > Rcpp-devel mailing list > [email protected] > https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel > -- Simon Alexander Riddell London School of Economics MSc in Political Economy linkedin.com/in/simonriddell <http://uk.linkedin.com/in/simonriddell>
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