Dear R team,
when using optim with method "CG" I got the wrong $value for the
reported $par.
Example:
f<-function(p) {
if (!all(p>-.7)) return(2)
if (!all(p<.7)) return(2)
sin((p[1])^2)*sin(p[2])
}
optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=1))
$par 19280.68 -10622.32
$value -0.2346207 # should be 2!
optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=2))
$par 3834.021 -2718.958
$value -0.0009983175 # should be 2!
Fix:
--- optim.c (Revision 37878)
+++ optim.c (Arbeitskopie)
@@ -970,7 +970,8 @@
if (!accpoint) {
steplength *= stepredn;
if (trace) Rprintf("*");
- }
+ } else
+ *Fmin = f;
}
} while (!(count == n || accpoint));
if (count < n) {
After fix:
optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=1))
$par 0.6993467 -0.4900145
$value -0.2211150
optim(c(0.1,-0.1),f,method="CG",control=list(trace=0,type=2))
$par 3834.021 -2718.958
$value 2
Wishlist:
1. Please make type=3 the default in optim (it is more robust).
2. The $par reported for type=2 is still not satisfactory. I found out
that this can be improved by limiting G3 to a maximum of about 2000
(maybe even smaller). However, I'm not a "CG" expert and can live with a
suboptimal result.
--- optim.c (Revision 37878)
+++ optim.c (Arbeitskopie)
@@ -946,6 +946,8 @@
G3 = G1 / G2;
else
G3 = 1.0;
+ if (G3 > 2e3)
+ G3 = 2e3;
gradproj = 0.0;
for (i = 0; i < n; i++) {
t[i] = t[i] * G3 - g[i];
Andreas
--
Andreas Westfeld, 0432 01CC F511 9E2B 0B57 5993 0B22 98F8 4AD8 EEEA
<[EMAIL PROTECTED]> http://www.inf.tu-dresden.de/~aw4
TU Dresden Fakultät Informatik, Institut für Systemarchitektur
Datenschutz und Datensicherheit, Tel. +49-351-463-37918
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