Rcgminb {optimx}

An R implementation of a bounded nonlinear conjugate gradient algorithm with the Dai / Yuan update and restart. Based on Nash (1979) Algorithm 22 for its main structure. CALL THIS VIA Rcgmin AND DO NOT USE DIRECTLY.

Description

The purpose of Rcgminb is to minimize a bounds (box) and mask constrained function of many parameters by a nonlinear conjugate gradients method. This code is entirely in R to allow users to explore and understand the method. It allows bounds (or box) constraints and masks (equality constraints) to be imposed on parameters.

This code should be called through Rcgmin which selects Rcgminb or Rcgminu according to the presence of bounds and masks.

Usage

   Rcgminb(par, fn, gr, lower, upper, bdmsk, control = list(), ...)

Arguments

par

A numeric vector of starting estimates.

fn

A function that returns the value of the objective at the supplied set of parameters par using auxiliary data in .... The first argument of fn must be par.

gr

A function that returns the gradient of the objective at the supplied set of parameters par using auxiliary data in .... The first argument of fn must be par. This function returns the gradient as a numeric vector.

The use of numerical gradients for Rcgminb is STRONGLY discouraged.

lower

A vector of lower bounds on the parameters.

upper

A vector of upper bounds on the parameters.

bdmsk

An indicator vector, having 1 for each parameter that is "free" or unconstrained, and 0 for any parameter that is fixed or MASKED for the duration of the optimization.

control

An optional list of control settings.

...

Further arguments to be passed to fn.

Details

Functions fn must return a numeric value.

The control argument is a list.

maxit

A limit on the number of iterations (default 500). Note that this is used to compute a quantity maxfeval<-round(sqrt(n+1)*maxit) where n is the number of parameters to be minimized.

trace

Set 0 (default) for no output, >0 for trace output (larger values imply more output).

eps

Tolerance used to calculate numerical gradients. Default is 1.0E-7. See source code for Rcgminb for details of application.

dowarn

= TRUE if we want warnings generated by optimx. Default is TRUE.

Note:

The source code Rcgminb for R is likely to remain a work in progress for some time, so users should watch the console output.

As of 2011-11-21 the following controls have been REMOVED

usenumDeriv

There is now a choice of numerical gradient routines. See argument gr.

maximize

To maximize user_function, supply a function that computes (-1)*user_function. An alternative is to call Rcgmin via the package optimx.

Value

A list with components:

par

The best set of parameters found.

value

The value of the objective at the best set of parameters found.

counts

A two-element integer vector giving the number of calls to 'fn' and 'gr' respectively. This excludes those calls needed to compute the Hessian, if requested, and any calls to 'fn' to compute a finite-difference approximation to the gradient.

convergence

An integer code. '0' indicates successful convergence. '1' indicates that the function evaluation count 'maxfeval' was reached. '2' indicates initial point is infeasible.

message

A character string giving any additional information returned by the optimizer, or 'NULL'.

bdmsk

Returned index describing the status of bounds and masks at the proposed solution. Parameters for which bdmsk are 1 are unconstrained or "free", those with bdmsk 0 are masked i.e., fixed. For historical reasons, we indicate a parameter is at a lower bound using -3 or upper bound using -1.

References

See Rcgmin documentation. Note that bounds and masks were adapted from the work by Nash and Walker-Smith(1987).

See Also

optim