search for: samin

Dear list, I was trying to use the R API for optimization method "Simulated annealing" void samin(int n, double *x, double *Fmin, optimfn fn, int maxit, int tmax, double temp, int trace, void *ex); but I encountered the following problem: The implementation of the function samin (as seen in src/main/optim.c) passes its void * argument "ex" into the function genptry (im...

I am writing code in C and would like to call R's functions samin and vmmin (optimization routines: simulated annealing and BFGS) I do not understand how to create and pass in the function (as well as the extra arguments it needs) I am optimizing. I have read the R Extensions manual but it is still unclear to me. Could you give me some pointers and/or direct me...

...lo, I wonder why the control parameter REPORT is not supported by method SANN. Looking into optim.c I found an internal constant: #define STEPS 100 ... and decreasing this to 10 helped me fine-tuning the annealing parameters in an actual problem. Is there any reason why not passing nREPORT to samin and setting something like: STEPS = nREPORT / tmax Thomas P. -- Thomas Petzoldt Technische Universitaet Dresden Institut fuer Hydrobiologie thomas.petzoldt at tu-dresden.de 01062 Dresden http://tu-dresden.de/hydrobiologie/ GERMANY

Hi I am looking to perform a discrete mean-variance optimisation, specifically to maximise the ratio of portfolio mean over portfolio standard deviation for a portfolio of several hundred stocks through discrete position size holdings in each stock, where all position sizes must be elements of a small finite set of integer amounts which include zero. I don't think any of the standard R

Hi I am looking to perform a discrete mean-variance optimisation, specifically to maximise the ratio of portfolio mean over portfolio standard deviation for a portfolio of several hundred stocks through discrete position size holdings in each stock, where all position sizes must be elements of a small finite set of integer amounts which include zero. I don't think any of the standard R

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