R: Optimization using PORT routines

nlminb {stats}

R Documentation

Optimization using PORT routines

Description

Unconstrained and constrained optimization using PORT routines.

Usage

nlminb(start, objective, gradient = NULL, hessian = NULL, ...,
       scale = 1, control = list(), lower = -Inf, upper = Inf)

Arguments

`start`	numeric vector, initial values for the parameters to be optimized.
`objective`	Function to be minimized. Must return a scalar value (possibly NA/Inf). The first argument to `objective` is the vector of parameters to be optimized, whose initial values are supplied through `start`. Further arguments (fixed during the course of the optimization) to `objective` may be specified as well (see `...`).
`gradient`	Optional function that takes the same arguments as `objective` and evaluates the gradient of `objective` at its first argument. Must return a vector as long as `start`.
`hessian`	Optional function that takes the same arguments as `objective` and evaluates the hessian of `objective` at its first argument. Must return a square matrix of order `length(start)`. Only the lower triangle is used.
`...`	Further arguments to be supplied to `objective`.
`scale`	See PORT documentation (or leave alone).
`control`	A list of control parameters. See below for details.
`lower, upper`	vectors of lower and upper bounds, replicated to be as long as `start`. If unspecified, all parameters are assumed to be unconstrained.

Details

Any names of start are passed on to objective and where applicable, gradient and hessian. The parameter vector will be coerced to double.

The PORT documentation is at http://netlib.bell-labs.com/cm/cs/cstr/153.pdf.

Value

A list with components:

`par`	The best set of parameters found.
`objective`	The value of `objective` corresponding to `par`.
`convergence`	An integer code. `0` indicates successful convergence.
`message`	A character string giving any additional information returned by the optimizer, or `NULL`. For details, see PORT documentation.
`iterations`	Number of iterations performed.
`evaluations`	Number of objective function and gradient function evaluations

Control parameters

Possible names in the control list and their default values are:

eval.max: Maximum number of evaluations of the objective function allowed. Defaults to 200.

iter.max: Maximum number of iterations allowed. Defaults to 150.

trace: The value of the objective function and the parameters is printed every trace'th iteration. Defaults to 0 which indicates no trace information is to be printed.
abs.tol: Absolute tolerance. As from R 2.12.0, defaults to 0 so the absolute convergence test is not used. If the objective function is known to be non-negative, the previous default of 1e-20 would be more appropriate.

rel.tol: Relative tolerance. Defaults to 1e-10.

x.tol: X tolerance. Defaults to 1.5e-8.

xf.tol: false convergence tolerance. Defaults to 2.2e-14.

step.min, step.max: Minimum and maximum step size. Both default to 1..

sing.tol: singular convergence tolerance; defaults to rel.tol.

scale.init: ...

diff.g: an estimated bound on the relative error in the objective function value.

Author(s)

(of R port) Douglas Bates and Deepayan Sarkar.

References

http://netlib.bell-labs.com/netlib/port/

Examples

x <- rnbinom(100, mu = 10, size = 10)
hdev <- function(par) {
    -sum(dnbinom(x, mu = par[1], size = par[2], log = TRUE))
}
nlminb(c(9, 12), hdev)
nlminb(c(20, 20), hdev, lower = 0, upper = Inf)
nlminb(c(20, 20), hdev, lower = 0.001, upper = Inf)

## slightly modified from the S-PLUS help page for nlminb
# this example minimizes a sum of squares with known solution y
sumsq <- function( x, y) {sum((x-y)^2)}
y <- rep(1,5)
x0 <- rnorm(length(y))
nlminb(start = x0, sumsq, y = y)
# now use bounds with a y that has some components outside the bounds
y <- c( 0, 2, 0, -2, 0)
nlminb(start = x0, sumsq, lower = -1, upper = 1, y = y)
# try using the gradient
sumsq.g <- function(x,y) 2*(x-y)
nlminb(start = x0, sumsq, sumsq.g,
       lower = -1, upper = 1, y = y)
# now use the hessian, too
sumsq.h <- function(x,y) diag(2, nrow = length(x))
nlminb(start = x0, sumsq, sumsq.g, sumsq.h,
       lower = -1, upper = 1, y = y)

## Rest lifted from optim help page

fr <- function(x) {   ## Rosenbrock Banana function
    x1 <- x[1]
    x2 <- x[2]
    100 * (x2 - x1 * x1)^2 + (1 - x1)^2
}
grr <- function(x) { ## Gradient of 'fr'
    x1 <- x[1]
    x2 <- x[2]
    c(-400 * x1 * (x2 - x1 * x1) - 2 * (1 - x1),
       200 *      (x2 - x1 * x1))
}
nlminb(c(-1.2,1), fr)
nlminb(c(-1.2,1), fr, grr)


flb <- function(x)
    { p <- length(x); sum(c(1, rep(4, p-1)) * (x - c(1, x[-p])^2)^2) }
## 25-dimensional box constrained
## par[24] is *not* at boundary
nlminb(rep(3, 25), flb,
          lower=rep(2, 25),
          upper=rep(4, 25))
## trying to use a too small tolerance:
r <- nlminb(rep(3, 25), flb, control = list(rel.tol=1e-16))
stopifnot(grepl("rel.tol", r$message))

[Package stats version 2.15.1 Index]