The R package optimParallel provides a parallel version of the L-BFGS-B optimization method of optim(). The main function of the package is optimParallel(), which has the same usage and output as optim(). Using optimParallel() can significantly reduce the optimization time, especially when the evaluation time of the objective function is large and no analytical gradient is available. We introduce the R package and illustrate its implementation, which takes advantage of the lexical scoping mechanism of R.
Supplementary materials are available in addition to this article. It can be downloaded at RJ-2019-030.zip
lbfgsb3, lbfgsb3c, optimParallel, testthat, microbenchmark
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For attribution, please cite this work as
Gerber & Furrer, "optimParallel: An R Package Providing a Parallel Version of the L-BFGS-B Optimization Method", The R Journal, 2019
BibTeX citation
@article{RJ-2019-030,
author = {Gerber, Florian and Furrer, Reinhard},
title = {optimParallel: An R Package Providing a Parallel Version of the L-BFGS-B Optimization Method},
journal = {The R Journal},
year = {2019},
note = {https://doi.org/10.32614/RJ-2019-030},
doi = {10.32614/RJ-2019-030},
volume = {11},
issue = {1},
issn = {2073-4859},
pages = {352-358}
}