Re: [Rd] [R] How to improve the OPTIM results
moved to R-devel What would people suggest someone do to improve the optimization capabilities in R? A few ideas are mentioned below. I just got 578 hits from RSiteSearch(optimization, fun), and I wonder if there's a better way to get a reasonable overview of what's currently available in R -- and outside R? My initial thought was to develop an enhanced version of 'optim' that would check for negative curvature (via indefinite Hessians), do auto-scaling (see http://finzi.psych.upenn.edu/R/Rhelp02a/archive/125518.html), and output an object of a class like 'mle' or a new class like 'optimMLE' for which appropriate methods could be written. I have to often encountered problems with overparameterization, which could be fairly easily diagnosed via a singular or indefinite hessian. It would help me, and I believe other users, if functions like 'optim' and 'nls' would include simple diagnostics like this -- rather than returning a cryptic error or warning message. However, the comment from Hans Borchers (below) raises a related question: What might be the best way to build a collaboration with existing optimization initiatives, possibly making R a platform of choice for making it easy for users to access and compare alternative optimization methods? Thanks, Spencer Hans W Borchers wrote: MORE GENERAL OPTIM ISSUES I'm considering creating a package 'optimMLE' that would automate some of this and package it with common 'methods' that would assume that sum(fn(...)) was either a log(likelihood) or the negative of a log(likelihood), etc. However, before I do, I need to make more progress on some of my other commitments, review RSiteSearch(optim, fun) to make sure I'm not duplicating something that already exists, etc. If anyone is interested in collaborating on this, please contact me off-line. Hope this helps. Spencer Thanks for your tips on using `optim()'. I believe `optim' is a reasonable good implementation of numerical optimization techniques such as quasi-Newton BFGS or conjugate gradients. Maybe methods using modern line searches or trust regions can follow someday. Everybody applying `optim' should be aware that it is a *Local Optimization* (LO) approach. What you describe appears to be a step towards *Global Optimization* (GO) in R. And indeed more and more requests in to the R-help list are about `optim' as a tool for global optimization, not always being fully aware of the differences. I am wondering whether it would be more useful to provide one or two global optimization approaches to the R community. And as this is an active research area, there are many and with different advantages and drawbacks. I would like to propose IPOPT as one of he newer and more advanced methods for global optimization. This powerful software package is open source and available through the COIN-OR initiative and its Web pages: http://www.coin-or.org/Ipopt/documentation/ ``Ipopt (Interior Point OPTimizer, pronounced I-P-Opt) is a software package for large-scale nonlinear optimization. Ipopt is written in C++ and is released as open source code under the Common Public License (CPL). It is available from the COIN-OR initiative. The code has been written by Carl Laird (Carnegie Mellon University) and Andreas Wachter (IBM's T.J. Watson Research Center), who is the COIN project leader for Ipopt.'' PERHAPS the COIN project would agree for IPOPT to be integrated into the open source project R as a package. For testing it right now there is an AMPL-based interface to IPOPT at the NEOS solver: http://neos.mcs.anl.gov/neos/solvers/nco:Ipopt/AMPL.html There may be other rewarding projects in the COIN-OR initiative, such as `SYMPHONY' for solving mixed-integer linear programs (MILP, stronger than `glpk' and `lp-solve'), or the BONMIN open source *non-linear* mixed integer programming (MINLP) solver. I could imagine R to be a good platform for integrating some of these algorithms. Hans W. Borchers Control and Optimization Group ABB Corporate Research Germany [EMAIL PROTECTED] __ [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 and provide commented, minimal, self-contained, reproducible code. __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
Re: [Rd] [R] How to improve the OPTIM results
On 6 April 2008 at 08:37, Spencer Graves wrote: | moved to R-devel [...] | However, the comment from Hans Borchers (below) raises a related | question: What might be the best way to build a collaboration with | existing optimization initiatives, possibly making R a platform of | choice for making it easy for users to access and compare alternative | optimization methods? Are you (used in the plural) aware of Kurt's more recent advances into OR? There are new-ish packages RSymphony, Rglpk and other things at CRAN. Dirk -- Three out of two people have difficulties with fractions. __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
Re: [Rd] [R] How to improve the OPTIM results
On Sun, Apr 6, 2008 at 12:59 PM, Kurt Hornik [EMAIL PROTECTED] wrote: Dirk Eddelbuettel writes: On 6 April 2008 at 08:37, Spencer Graves wrote: | moved to R-devel [...] | However, the comment from Hans Borchers (below) raises a related | question: What might be the best way to build a collaboration with | existing optimization initiatives, possibly making R a platform of | choice for making it easy for users to access and compare alternative | optimization methods? Are you (used in the plural) aware of Kurt's more recent advances into OR? There are new-ish packages RSymphony, Rglpk and other things at CRAN. Not only by me: there's also Rcplex and TSP and there are at least three more COIN-OR package interfaces in the pipeline. It would be nice if there were a CRAN Task View to pull all this together. __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
Re: [Rd] [R] How to improve the OPTIM results
Dirk Eddelbuettel writes: On 6 April 2008 at 08:37, Spencer Graves wrote: | moved to R-devel [...] | However, the comment from Hans Borchers (below) raises a related | question: What might be the best way to build a collaboration with | existing optimization initiatives, possibly making R a platform of | choice for making it easy for users to access and compare alternative | optimization methods? Are you (used in the plural) aware of Kurt's more recent advances into OR? There are new-ish packages RSymphony, Rglpk and other things at CRAN. Not only by me: there's also Rcplex and TSP and there are at least three more COIN-OR package interfaces in the pipeline. -k __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
Re: [Rd] [R] How to improve the OPTIM results
in line Gabor Grothendieck wrote: On Sun, Apr 6, 2008 at 12:59 PM, Kurt Hornik [EMAIL PROTECTED] wrote: Dirk Eddelbuettel writes: On 6 April 2008 at 08:37, Spencer Graves wrote: | moved to R-devel [...] | However, the comment from Hans Borchers (below) raises a related | question: What might be the best way to build a collaboration with | existing optimization initiatives, possibly making R a platform of | choice for making it easy for users to access and compare alternative | optimization methods? Are you (used in the plural) aware of Kurt's more recent advances into OR? There are new-ish packages RSymphony, Rglpk and other things at CRAN. Not only by me: there's also Rcplex and TSP and there are at least three more COIN-OR package interfaces in the pipeline. It would be nice if there were a CRAN Task View to pull all this together. How about R Wiki entries also? The enormous advantage of a Wiki is that anyone can make contributions, subject to moderation when things get extreme. I'd like to see copies of all the CRAN Task Views ported to the R Wiki, with emails sent to the maintainers of all the packages mentioned, inviting updates, comparisons, clarifications, amplifications, etc. Similarly, I'd like to see people posting questions to R Wiki accompanied by a post to R-Help. Then someone else would edit the question with an answer. Officially designated R Wiki editors could notify people whose posts seem inappropriate for whatever reason that their entries may be removed unless clarified, etc. With the right selection of editors and a little time, I think the R Wiki could become the most valuable documentation available on R. __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
