Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Edzer Pebesma & Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Unifying Optimization Algorithms to Aid Software System Users: optimx for R | Nash | Journal of Statistical Software
Authors: John C. Nash, Ravi Varadhan
Title: Unifying Optimization Algorithms to Aid Software System Users: optimx for R
Abstract: R users can often solve optimization tasks easily using the tools in the optim function in the stats package provided by default on R installations. However, there are many other optimization and nonlinear modelling tools in R or in easily installed add-on packages. These present users with a bewildering array of choices. optimx is a wrapper to consolidate many of these choices for the optimization of functions that are mostly smooth with parameters at most bounds-constrained. We attempt to provide some diagnostic information about the function, its scaling and parameter bounds, and the solution characteristics. optimx runs a battery of methods on a given problem, thus facilitating comparative studies of optimization algorithms for the problem at hand. optimx can also be a useful pedagogical tool for demonstrating the strengths and pitfalls of different classes of optimization approaches including Newton, gradient, and derivative-free methods.

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Paper: Unifying Optimization Algorithms to Aid Software System Users: optimx for R     Download PDF (Downloads: 8520)
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optimx_2011-8.1.tar.gz: R source package Download (Downloads: 613; 26KB)
v43i09.R: R example code from the paper Download (Downloads: 690; 544B)
DOI: 10.18637/jss.v043.i09

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Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.