[Rcpp-devel] Best Practice for Optimize Functions in RCPP

[Simon Riddell]

Dear all,

Thank you for your responses. I will look into the resources and code you
have shared and hopefully I can figure something out! I appreciate your
time and help.

Simon

On Fri, Jan 2, 2015 at 12:45 PM, Mark Clements <mark.clements at ki.se> wrote:

> Alternatively, one could use the code for Brent_fmin() from the stats
> library (e.g.
>
> https://github.com/lgautier/R-3-0-branch-alt/blob/master/src/library/stats/src/optimize.c
> ).
> I have done this for the rstpm2 library
> (https://github.com/mclements/rstpm2/blob/develop/src/c_optim.cpp).
>
> This does use a C API, so I would not argue that it is "best practice".
> However, using templates and function objects, this can be comparatively
> general.
>
> An inline example is below.
>
> require(Rcpp)
> require(inline)
> src <- "
> #include <Rcpp.h>
> #include <float.h> /* DBL_EPSILON */
> // From the URLs above, insert the definition for:
> // double Brent_fmin(double ax, double bx, double (*f)(double, void *),
> //          void *info, double tol);
> //
> // An example
> struct Model {
>     double a,b;
>     double operator()(double x) {
>         return pow(log(x) - a,2) + b;
>     }
> };
> Model model = {1.0,2.0};
> // template to use a function object (functor) with Brent_fmin()
> template<class T>
>     double Brent_fmin_functor(double x, void * par) {
>     T * model = (T *) par;
>     return model->operator()(x);
> }
> //[[Rcpp::export]]
> double test_optimise() {
>     return Brent_fmin(0.001,10.0,&Brent_fmin_functor<Model>,(void *)
> &model,1.0e-10);
> }
> "
> sourceCpp(code=src)
> test_optimise()
>
> Kindly, Mark.
>
> On 12/23/2014 02:48 PM, Dirk Eddelbuettel wrote:
> > On 23 December 2014 at 08:21, Hao Ye wrote:
> > | There are also some minima-finding functions in GSL that you may want
> to look
> > | into. The source for RcppGSL might help with a fully c++ version.
> >
> > Yes. And there are a bazillion optimisation packages on CRAN:
> >     http://cran.r-project.org/web/views/Optimization.html
> > Several of these are already used in a Rcpp context.
> >
> > Also, I once needed something similar to what Avi described here, and
> just 'ripped
> > out' a simple one-dim optimizer (to compute implied vols for a lot of
> option
> > price series quickly, so I took the optmizier from QuantLib) -- and
> blogged
> > about it: http://dirk.eddelbuettel.com/blog/2012/10/25/  This isn't all
> that
> > hard, and we can probably help Simon here.
> >
> > A different (and harder to grok at first) take is in RcppDE where I
> reworked
> > the DEoptim optimization package (and "ported" from C to C++ wit
> RcppArmadillo)
> > and allowed use of user-supplied functions to optimize for -- given as
> C++
> > functions.   This is likely to confuse Simon now, but some other people
> have
> > used this scheme.
> >
> > Dirk
> >
>
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>



-- 
Simon Alexander Riddell
London School of Economics
MSc in Political Economy
linkedin.com/in/simonriddell <http://uk.linkedin.com/in/simonriddell>
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