[R] optim with gradient

Adrian Trapletti adrian.trapletti at lmttrading.com
Thu Mar 21 12:00:49 CET 2002

Göran Broström wrote:

> On Thu, 21 Mar 2002, Adrian Trapletti wrote:
> [...]
> > If the only goal is to improve speed, then you should consider to do
> > the full optimization within C/Fortran, i.e., to implement the errfunc
> > and the gradient in C and to call optim through the API (a new feature
> > of the upcoming version 1.5.0 as Brian told me). This may increase speed
> > - I just make a rough guess now - by a factor 100.
> I can hardly wait! I already make the heavy calculations in Fortran, so it
> should be easy to implement.

I am not sure what you mean by doing the heavy calculations in Fortran. But I

guess the errfunc (and gradient) are defined in R and itself call Fortran
code using .Fortran()? That´s already more performant, but also then you
should avoid that optim calls an R function. It completely "destroys" the

> Is the feature in R-devel now?


> And documented?

I don´t know. Ask Brian. But I think it should be pretty easy to figure out
how to call optim and how optim calls your functions from the header file.


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