Optimization in R
I have written some code for doing mathematical optimization in R.- tests.zip, some tests for comparing different BFGS implementations. The script compares three implementations: my own (see below), GSL's, and R's.
- bfgs.zip, an implemention of the Broyden-Fletcher-Goldfarb-Shanno (BFGS) algorithm for smooth function minimization. It supports box constraints, and uses the More-Thuente linesearch algorithm. I like to think the code is easy to understand and play with, partly because it is written in R. I think the linesearch algorithm needs some work -- it could make much better use of derivative information.
- multimin.zip, an R wrapper for the GNU Scientific Library's function optimization code. Included in the R gsl package.