crt.minimax.control {ICAOD}

Returns Control Parameters for Optimizing Minimax Criteria Over The Parameter Space

Description

The function crt.minimax.control returns a list of nloptr control parameters for optimizing the minimax criterion over the parameter space.
The key tuning parameter for our application is maxeval. Its value should be increased when either the dimension or the size of the parameter space becomes larger to avoid pre-mature convergence in the inner optimization problem over the parameter space. If the CPU time matters, the user should find an appropriate speed-accuracy trade-off for her/his own design problem.

Usage

crt.minimax.control(
  x0 = NULL,
  optslist = list(stopval = -Inf, algorithm = "NLOPT_GN_DIRECT_L", xtol_rel = 1e-06,
    ftol_rel = 0, maxeval = 1000),
  ...
)

Arguments

x0

Vector of the starting values for the optimization problem (must be from the parameter space).

optslist

A list. It will be passed to the argument opts of the function nloptr. See 'Details'.

...

Further arguments will be passed to nl.opts from package nloptr.

Details

Argument optslist will be passed to the argument opts of the function nloptr:

stopval

Stop minimization when an objective value <= stopval is found. Setting stopval to -Inf disables this stopping criterion (default).

algorithm

Defaults to NLOPT_GN_DIRECT_L. DIRECT-L is a deterministic-search algorithm based on systematic division of the search domain into smaller and smaller hyperrectangles.

xtol_rel

Stop when an optimization step (or an estimate of the optimum) changes every parameter by less than xtol_rel multiplied by the absolute value of the parameter. Criterion is disabled if xtol_rel is non-positive. Defaults to 1e-5.

ftol_rel

Stop when an optimization step (or an estimate of the optimum) changes the objective function value by less than ftol_rel multiplied by the absolute value of the function value. Criterion is disabled if ftol_rel is non-positive. Defaults to 1e-8.

maxeval

Stop when the number of function evaluations exceeds maxeval. Criterion is disabled if maxeval is non-positive. Defaults to 1000. See below.

A detailed explanation of all the options is shown by nloptr.print.options() in package nloptr.

Value

A list of control parameters for the function nloptr.

Examples

crt.minimax.control(optslist = list(maxeval = 2000))