On Wed, Jul 7, 2010 at 1:49 PM, Paul Bailey <pdbai...@umd.edu> wrote:
> > Have you considered using the optim function with L-BFGS-B for bounded > optimization. Obviously, you will have to do changes of variables so that > everything is in terms of a rectangle (which is the type of bounding that > it > accepts). > > I believe it is based on "A LIMITED MEMORY ALGORITHM FOR BOUND CONSTRAINED > OPTIMIZATION" By Richard H Byrd, Peihuang Lu, Jorge Nocedal, and Ciyou > Zhu. > Technical Report NAM-08, May 1994. > > They also have a paper on the exact implementation. I also believe that R > uses the code from Nocedal et al. > Yes, the code is in <R>/src/appl/lbfgsb.c. There is a C++ interface in the cxxPack package (cxxPack/src/optimize.cpp, class ConstrainedMinimizer). I haven't yet included an example. If there is interest I will. Dominick [[alternative HTML version deleted]] ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel