On Mon, 4 Aug 2003, [iso-8859-1] Jean Fan wrote: > I'm not a specialist of numerical optimization algorithms, > but it seems that GRG is actually implemented in several > specialized optimisation toolbox (sure generally commercial), > not only the limited one in Excel. > And with google, search "GRG generalized reduced gradient" is > giving 424 links.
The code in Excel is actually called GRG2 (the 2 does matter). Unlike any of the methods for optim(), it can handle nonlinear inequality constraints and does not need a feasible initial solution. There's a blurb about it in the NEOS optimisation guide: http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/grg2.html Judging from this blurb, it will be similar to L-BFGS-B for problems with no constraints or box constraints. -thomas Thomas Lumley Assoc. Professor, Biostatistics [EMAIL PROTECTED] University of Washington, Seattle ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help