[R] The best solver for non-smooth functions?

[Cren]

Hans W Borchers wrote
> 
> The most robust solver for non-smooth functions I know of in R is
> Nelder-Mead 
> in the 'dfoptim' package (that also allows for box constraints).
> 
> First throw out the equality constraint by using c(w1, w1, 1-w1-w2) as
> input. 
> This will enlarge the domain a bit, but comes out allright in the end.
> 
>     sharpe2 <- function(w) {
>     	w <- c(w[1], w[2], 1-w[1]-w[2])
>       - (t(w) %*% y) / cm.CVaR(M, lgd, w, N, n, r, rho, alpha, rating)
>     }
>     
>     nmkb(c(1/3,1/3), sharpe2, lower=c(0,0), upper=c(1,1))
>     ## $par
>     ## [1] 0.1425304 0.1425646
>     ## $value
>     ## [1] -0.03093439
> 
> This is still in the domain of definition, and is about the same optimum
> that 
> solnp() finds.
> 
> There are some more solvers, especially aimed at non-smooth functions, in
> the 
> making. For low-dimensional problems like this Nelder-Mead is a reasonable 
> choice.

# Thank you, I'll try it :)


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