optimParallel: An R Package Providing a Parallel Version of the L-BFGS-B Optimization Method

Authors

Florian Gerber, Colorado School of Mines
Reinhard Furrer, University of Zurich

Date of this Version

6-2019

Document Type

Article

Citation

The R Journal (June 2019) 11(1); Editor: Norm Matloff

Comments

Copyright 2019, The R Foundation. Open access material. License: CC BY 4.0 International

Abstract

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.