[Rcpp-devel] Numerical Optimization in C++

[Dirk Eddelbuettel]

Hi Conrad,

On 3 February 2013 at 12:47, Simon Zehnder wrote:
| I am using the RcppArmadillo package and I need in C++ some optimization methods. Before I used always the Scythe Statistical Library which had both: linear algebra and optimization methods. Armadillo has only linear algebra support. 
| 
| Now my question: What numerical optimization libraries in C++ do you use, when working with RcppArmadillo? It should be fast! 

Yan already pointed out that "any" is a good answer as Rcpp etc use the
standard C++ interfaces such as std::vector etc.  You can literally use
"whatever".  In some case you may need to package it, or provide linkage to
it.  That is what Rcpp is about, and the 'Rcpp-extending' vignette has
documentation on how one can write as<>() and wrap() converters for one's
desired external library if it uses specific data types.

Conrad already noted that there are also add-on libraries that use Armadillo
making RcppArmadillo an easy choice.

What has not been mentioned yet is that R itself does of course offer
optimization routines, and the Writing R Extension manual talks about how to
use them.  So you can also go back to the R API if you want to.

Dirk

-- 
Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com