[Rcpp-devel] Numerical Optimization in C++

[Simon Zehnder]

I also found this one here: http://www.alglib.net/optimization/lbfgsandcg.php

and on this thread a very good experience with it and Rcpp: http://lists.r-forge.r-project.org/pipermail/rcpp-devel/2012-July/004038.html

Best 

Simon

On Feb 3, 2013, at 2:55 PM, Dirk Eddelbuettel <edd at debian.org> wrote:

> 
> 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