[Rcpp-devel] Rcpp syntactic sugar equivalent for R's optimize() function

Smith, Dale (Norcross) Dale.Smith at Fiserv.com
Fri Feb 28 13:50:57 CET 2014

"In short, this is not trivial."

No, it isn't. If you are not completely wedded to optimize(), I would suggest another route. Again, I recommend nlopt or some other package which has the algorithms you need. And you can investigate nloptr if you want to call the routines in that R package as Dirk pointed out below, and as in the list archives.

The C++ interface to nlopt uses std::vector. Using the facilities of Rcpp, I'm able to easily go from NumericVector to std::vector. This makes for very clean code.

FWIW, I'm implementing model prototypes in R, then re-implementing in C++ so I can then compare results via Rcpp. Thus, nlopt is a very good solution for me.

Dale Smith, Ph.D.
Senior Financial Quantitative Analyst
Financial & Risk Management Solutions
Office: 678-375-5315

-----Original Message-----
From: rcpp-devel-bounces at r-forge.wu-wien.ac.at [mailto:rcpp-devel-bounces at r-forge.wu-wien.ac.at] On Behalf Of Dirk Eddelbuettel
Sent: Friday, February 28, 2014 7:14 AM
To: Gregor Kastner
Cc: rcpp-devel at r-forge.wu-wien.ac.at
Subject: Re: [Rcpp-devel] Rcpp syntactic sugar equivalent for R's optimize() function

On 28 February 2014 at 11:52, Gregor Kastner wrote:
| Hi Hideyoshi,
| > Is there a way I can just call that function in Rcpp rather than 
| > having to install new libraries or create my own? (I presume that 
| > there is probably a “C_do_fmin.c” file somewhere that I can use?)
| This questions has been discussed in this list about a month ago:
| http://r.789695.n4.nabble.com/Linking-to-native-routines-in-other-pack
| ages-tt4683969.html#none

Not exactly. That question was about calling from another package for which the calling-registered-functions approach was discussed; Hideyoshi wants to call a function from an R base package.

That can be done, but can also be tricky because they don't exactly have the same calling interface:

  /* fmin(f, xmin, xmax tol) */
  SEXP do_fmin(SEXP call, SEXP op, SEXP args, SEXP rho)

It is a good exercise to work through the call, op, args arguments once :)

In short, this is not trivial. Which is why I chose to quickly reimplement / rewrite the Brent algorithm in another function for (internal, not
distributed) use as I alluded to in my earlier answer. 


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