R Optimization Test

(This article was first published on Quantitative Finance Collector, and kindly contributed to R-bloggers)

I have tested several R optimization functions before: nlm, optim(Nelder-Mead), optim(BFGS), optim(SANN), nlminb, optim (L-BFGS-B) for a eight-parameter Vasicek interest rate model, overall I find that for my setting, nlminb is the best and all R functions finish within seconds. For detail please read the old post at R optimization function test

Pat at Portfolio Probe recently had a wonderful test on some heuristic optimization methods, including simulated annealing, traditional genetic algorithm, evolutionary algorithms. By using R packages and functions – Rmalschains, GenSA, genopt, DEoptim, soma, rgenoud, GA, NMOF and SANN method of optim, he finds that the Rmalschains and GenSA packages are standing out. Nice one, original article is at A comparison of some heuristic optimization methods.
Tags – r , optimization
Read the full post at R Optimization Test.

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