Last night I was working on a difficult optimization problems, using the wonderful DEoptim package for R. Unfortunately, the optimization was taking a long time, so I thought I'd speed it up using a foreach loop, which resulted in the fo...
Posts Tagged ‘ Optimization ’
The top 7 portfolio optimization problems
Stumbling blocks on the trek from theory to practical optimization in fund management. Problem 1: portfolio optimization is too hard If you are using a spreadsheet, then this is indeed a problem. Spreadsheets are dangerous when given a complex task. Portfolio optimization qualifies as complex in this context (complex in data requirements). If you...
Another aspect of speeding up loops in R
Any frequent reader of R-bloggers will have come across several posts concerning the optimization of code - in particular, the avoidance of loops.Here's another aspect of the same issue. If you have experience programming in other languages besides...
Regression via Gradient Descent in R
In a previous post I derived the least squares estimators using basic calculus, algebra, and arithmetic, and also showed how the same results can be achieved using the canned functions in SAS and R or via the matrix programming capabilities offered by ...
Gradient Descent in R
In a previous post I discussed the concept of gradient descent. Given some recent work in the online machine learning course offered at Stanford, I'm going to extend that discussion with an actual example using R-code (the actual code...
Introduction to “Numerical Methods and Optimization in Finance”
The book is by Manfred Gilli, Dietmar Maringer and Enrico Schumann. I haven’t actually seen the book, so my judgement of it is mainly by the cover (and knowing the first two authors). The parts of the book closest to my heart are optimization, particularly portfolio optimization, and particularly particularly portfolio optimization via heuristic...
Benchmarking R, Revolution R, and HyperThreading for data mining
I recently upgraded my notebook (where I often use R for data mining) and was faced with two questions: for the fastest speed for building models, do I use the R or Revolution R, and do I enable Hyper-Threading? Revolution Analytics provides Revolution...
R: Speeding things up
R is many things, but it's not exactly speedy like a Patas Monkey. In fact, while it is much faster than many other solutions, R is notably slower than Stata (even inspiring talks that it should be rewritten from scratch!).Fortunately, Radford Neal ha...
Optimizing My R Code
Thanks to gappy3000 I optimized my code in few several ways. The original script lasted ~30 minutes thanks to using pure vectors instead of zoo objects. First of all I changed all lm functions for lm.fit functions. Although lm.fit function cannot handl...
Zoo Slows Down Your Linear Model Function
I was a bit frustrated when I read Aris's comment to this post about speed of his calculations in Matlab. So I changed the time span of my dataset to 5 years and repeated the whole code. It was VERY disappointing to get the results after more than 5 ho...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).