Nonlinear optimizers using trust regions, with methods
optimized for sparse Hessians.
Details
Trust region algorithm for nonlinear optimization. In addition to being more stable and robust than optim, this package includes methods that are scalable and efficient (in terms of both speed and memory usage) when the Hessian is sparse.
References
Braun, Michael. 2014. trustOptim: An R Package for Trust Region
Optimization with Sparse Hessians. Journal of Statistical Software 60(4),
1-16. www.jstatsoft.org/v60/i04/.
Nocedal, Jorge, and Stephen J Wright. 2006. Numerical Optimization.
Second edition. Springer.
Steihaug, Trond. 1983. The Conjugate Gradient Method and Trust
Regions in Large Scale Optimization. SIAM Journal on Numerical
Analysis 20(3), 626-637.