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 [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org 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.