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Re: cauchy.m in optim package?


From: Olaf Till
Subject: Re: cauchy.m in optim package?
Date: Fri, 25 Jul 2014 10:16:38 +0200
User-agent: Mutt/1.5.21 (2010-09-15)

On Thu, Jul 24, 2014 at 10:10:39PM +0200, Juan Pablo Carbajal wrote:
> <snip>
> Do you have a suggestion where to place it?

Some more tests show that a relyable first derivative at some `x'
seems available if `N' is set to `2' and `r' to a small value. But
still I see no advantage (for optim) even in the scalar case to using
the complex step derivative we already have (jacobs.m from Fotios
Kasolis). And for nonscalar gradients, using something similar to
`cauchy.m' would mean to use `fft' multiple times for each gradient(?)
--- disadvantage. And I see no use in optimization for higher order
derivatives with respect to only one parameter. So I don't see a use
in `optim'.

Though it's not my field, I don't doubt that the Taylor expansion in
`cauchy' is useful, and there was a comment in the thread you
mentioned seeming to say the same. But I see no fitting package. So
probably `general' or `miscellaneous', though I don't like this
suggestion.

Olaf

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