[Sorry for the belated reply: this came in just as I was leaving for a
trip.]
I've checked the original source, and the C code in optim does accurately
reflect the published algorithm.
Since your example is a discontinuous function, I don't see why you expect
CG to work on it. John Nash reports on his extensive experience that
method 3 is the worst, and I don't think we should let a single 2D example
of a badly-behaved function override that.
Note that no other optim method copes with the discontiuity here: had your
reported that it would have been clear that the problem was with the
example.
On Fri, 21 Apr 2006, [EMAIL PROTECTED] wrote:
> 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
>
>
--
Brian D. Ripley, [EMAIL PROTECTED]
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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