dimanche 19 avril 2015

GRG2 Solver EXCEL function or any nonlinear optimisation method for multiple parameters in R

I just wondered if anyone has tried to implement the GRG2 (nonlinear) algorithm in R. In principle, I was using it through SOLVER Excel to find the optimal value of multiple parameters (based on the minimum SSE between a reference dataset and the predicted values from a function created). This function consists of twelve parameters that should be optimised, however because of the size of my dataset (vectors lengths are 942431 elements) it crashes and finally fails to converge.


I subset my data and I am sharing you it in the following link: dataset in excel. If you explore it, you can see further the formulas.


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