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Unifying Optimization Algorithms to Aid Software System Users: optimx for R

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  • Nash, John C.
  • Varadhan, Ravi

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.

Suggested Citation

  • Nash, John C. & Varadhan, Ravi, 2011. "Unifying Optimization Algorithms to Aid Software System Users: optimx for R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 43(i09).
  • Handle: RePEc:jss:jstsof:v:043:i09
    DOI: http://hdl.handle.net/10.18637/jss.v043.i09
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    References listed on IDEAS

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    1. Y.H. Dai & Y. Yuan, 2001. "An Efficient Hybrid Conjugate Gradient Method for Unconstrained Optimization," Annals of Operations Research, Springer, vol. 103(1), pages 33-47, March.
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    10. Stavrakoudis, Athanassios & Panagiotou, Dimitrios, 2016. "Price dependence between coffee qualities: a copula model to evaluate asymmetric responses," MPRA Paper 75994, University Library of Munich, Germany.
    11. Song, Jingyu & Delgado, Michael S. & Preckel, Paul V. & Villoria, Nelson B., 2015. "Fine-Scale Land Use Allocation Using Maximum Likelihood," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205346, Agricultural and Applied Economics Association.
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    14. Stavrakoudis, Athanassios & Panagiotou, Dimitrios, 2016. "Price dependence and asymmetric responses between coffee varieties," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 17(2), June.
    15. Panagiotou Dimitrios & Stavrakoudis Athanassios, 2016. "Price Dependence between Different Beef Cuts and Quality Grades: A Copula Approach at the Retail Level for the U.S. Beef Industry," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 14(1), pages 121-131, May.
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    20. Varadhan, Ravi, 2014. "Numerical Optimization in R: Beyond optim," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 60(i01).
    21. Scholten, Lisa & Schuwirth, Nele & Reichert, Peter & Lienert, Judit, 2015. "Tackling uncertainty in multi-criteria decision analysis – An application to water supply infrastructure planning," European Journal of Operational Research, Elsevier, vol. 242(1), pages 243-260.
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