R help - Jan 2006 - Powell's unconstrained derivative-free nonlinear least squares routine, VA05AD

I have used Mike Powell's optimization routine (VA05AD) from the Harwell
Subroutine Library (HSL) for more than 20 years. It is no exaggeration to say
that it has helped make my career (thanks Mike). I recently learned that I am
not alone in this respect - apparently it still has a loyal following in all
sorts of fields!

It is an exceedingly fine piece of software - fast, reliable and easy to set up.
On some early problems that I looked at, it was twice as fast as the equivalent
NAG routine.  To quote from the manual,  "A hybrid method is used combining
features from the Newton -Raphson, Steepest descent and Marquardt methods and
calculating and maintaining an approximation to the first derivative matrix
using the ideas of Broyden."

Now that I have converted to R, I will miss my trusted friend. I have started
using nls() but have not accumulated enough experience to compare the two. It
would be great if VA05AD could be an option in there
(algorithm="Powell"). To this end, I recently enquired of the
custodians of the HSL whether it would be possible to make it freely available
to the R community. The answer was basically 'yes'. Would anybody be
willing to port it across? I am not sufficiently capable of doing this yet.

HSL Archive: http://www.cse.clrc.ac.uk/nag/hsl/contents.shtml 

==================Dr D G Kinniburgh
British Geological Survey
Crowmarsh Gifford
Wallingford
OX10 8BB 
UK

Phone: 0044 1491 692293
Fax:      0044 1491 692345
email:   dgk_at_bgs.ac.uk

G'day David,
>>>>> "DK" == David Kinniburgh <dgk at bgs.ac.uk>
writes:
    DK> I have used Mike Powell's optimization routine (VA05AD) from
    DK> the Harwell Subroutine Library (HSL) for more than 20 years.
    DK> [...]

    DK> Now that I have converted to R, I will miss my trusted
    DK> friend. I have started using nls() but have not accumulated
    DK> enough experience to compare the two. It would be great if
    DK> VA05AD could be an option in there (algorithm="Powell"). To
    DK> this end, I recently enquired of the custodians of the HSL
    DK> whether it would be possible to make it freely available to
    DK> the R community. The answer was basically 'yes'.  [...]
You better ask again. :-)

I presume VA05AD is in what is now called the HSL archive?  If it is
part of HSL 2004, then I don't see a way how it could be incorporated
into R given the information on their web site.  

Even for the HSL archive, it is stated at
http://hsl.rl.ac.uk/archive/hslarchive.html that

        "[...] HSL Archive codes are now available without charge to
        anyone, so long as they are not then incorporated into a
        commercial product; the latter is, of course, still permitted
        subject to a commercial licence. [...]"

which sounds as if it would be possible to interface (parts of) HSL
archive to R.  But then that URL goes on ans states:

        "Access to the Archive is by means of a short-lived individual
        password-controlled account. Potential users are asked for
        brief details of the use they intend to make of the package(s)
        they aim to download. Users are also asked to accept a
        conditions-of-use form, and are not permitted to divulge their
        userid and password to anyone else, nor to distribute any
        codes they obtain to a third party." 

IANAL, but as I understand the GPL, the last part of that sentence
will make it pretty impossible to incorporate into R (or distribute as
an R package) (parts of) the HSL archive routines.

Cheers,

        Berwin

========================== Full address ===========================Berwin A
Turlach                      Tel.: +61 (8) 6488 3338 (secr)
School of Mathematics and Statistics        +61 (8) 6488 3383 (self)      
The University of Western Australia   FAX : +61 (8) 6488 1028
35 Stirling Highway                   
Crawley WA 6009                e-mail: berwin at maths.uwa.edu.au
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