Fast optimizer

[R_help Help]

Hi,

I'm using optim with box constraints to MLE on about 100 data points.
It goes quite slow even on 4GB machine. I'm wondering if R has any
faster implementation? Also, if I'd like to impose
equality/nonequality constraints on parameters, which package I should
use? Any help would be appreciated. Thank you.

rc

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[Joshua Ulrich]

Please, please, please stop posting non-finance questions to this
list.  Also please note the instructions here:
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Thanks,
Josh
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On Thu, Oct 29, 2009 at 7:22 PM, R_help Help <[hidden email]> wrote:

> Hi,
>
> I'm using optim with box constraints to MLE on about 100 data points.
> It goes quite slow even on 4GB machine. I'm wondering if R has any
> faster implementation? Also, if I'd like to impose
> equality/nonequality constraints on parameters, which package I should
> use? Any help would be appreciated. Thank you.
>
> rc
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>

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[R_help Help]

Ok. I have the following likelihood function.

L <- p*dpois(x,a)*dpois(y,b+c)+(1-p)*dpois(x,a+c)*dpois(y,b)

where I have 100 points of (x,y) and parameters c(a,b,c,p) to
estimate. Constraints are:

0 < p < 1
a,b,c > 0
c < a
c < b

I construct a loglikelihood function out of this. First ignoring the
last two constraints, it takes optim with box constraint about 1-2 min
to estimate this. I have to estimate the MLE on about 200 rolling
windows. This will take very long. Is there any faster implementation?

Secondly, I cannot incorporate the last two contraints using optim function.

Thank you,

rc



On Thu, Oct 29, 2009 at 9:02 PM, Ravi Varadhan <[hidden email]> wrote:

>
> You have hardly given us any information for us to be able to help you.  Give us more information on your problem, and, if possible, a minimal, self-contained example of what you are trying to do.
>
> Ravi.
> ____________________________________________________________________
>
> Ravi Varadhan, Ph.D.
> Assistant Professor,
> Division of Geriatric Medicine and Gerontology
> School of Medicine
> Johns Hopkins University
>
> Ph. [phone]
> email: [hidden email]
>
>
> ----- Original Message -----
> From: R_help Help <[hidden email]>
> Date: Thursday, October 29, 2009 8:24 pm
> Subject: [R] Fast optimizer
> To: [hidden email], [hidden email]
>
>
>> Hi,
>>
>> I'm using optim with box constraints to MLE on about 100 data points.
>> It goes quite slow even on 4GB machine. I'm wondering if R has any
>> faster implementation? Also, if I'd like to impose
>> equality/nonequality constraints on parameters, which package I should
>> use? Any help would be appreciated. Thank you.
>>
>> rc
>>
>> ______________________________________________
>> [hidden email] mailing list
>>
>> PLEASE do read the posting guide
>> and provide commented, minimal, self-contained, reproducible code.
>

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