Hi
I'm quite new to optimization algorithms and I could use some advice or
pointers. I'm using ?optim (method L-BFGS-B) to optimize a function over
a 60-dimensional parameter space. The function itself takes about 1 to 6
minutes to compute. It finds an optimum after 6 tot 24 hours, depending
on the problem I need to solve. For me, speed is an issue and I would
like to reduce this to 1 hour.
Hence my question:: are there optimization algorithms that are
particularly useful for settings where the evaluation of the function
takes a lot of time to compute?
Thanks in advance,
Jan
Jan Wijffels
Statistical Analyst
www.thomascook.be | +32 9 241 1709
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