getProfileSup_optim {profExtrema}

Generic profile sup function computation with optim

Description

Compute profile sup function for an arbitrary matrix Psi with the L-BFGS-B algorithm of optim.

Usage

getProfileSup_optim(eta, Psi, f, fprime, d, options = NULL)

Arguments

eta

p dimensional point where the function is to be evaluated

Psi

projection matrix of dimensions p x d

f

function to be optimized (takes a vector y of dimension d and returns a real number)

fprime

derivative of f (same format, returning a d dimensional vector)

d

dimension of the input for f

options

a list containing the options to be passed to optim:

• par:contains the starting point (a point in dimension d-1)

• lower: the lower bounds for the optimization domain (see optim for details)

• upper:the upper bounds for the optimization domain (see optim for details)

Value

a real value corresponding to max_{x \in D_Psi} f(x)

Author(s)

Dario Azzimonti

See Also

getProfileInf_optim, plotMaxMin