Dear John, First let me apologize for not taking this off-list, since I feel that the issues that you have raised are very important for optimizeRs to think about.
I completely agree with all you points. Even though Brian Ripley is correct in pointing out that for SANN `maxit' is the only stopping criterion, it is still misleading when the convergence indicator says `0'. By convention, a zero indicator is taken to mean successful convergence to a local optimum, i.e. to a point where the KKT conditions are satisfied. If there is no reasonable way to terminate SANN (or other stochastic search algorithms), it might be more appropriate to indicate convergence as `NA', rather than `0'. Of course, for non-smooth and noisy functions we do not have the KKT conditions to guide us in evaluating whether we have a good solution or not. In these situations, the quality of the solution needs to be evaluated based on problem-specific knowledge. Hopefully, we can address this issue to some extent in the future versions of "optimx". For example, if a user tries to use SANN for a smooth objective function, then she should be forewarned. Best, Ravi. ---------------------------------------------------------------------------- ------- Ravi Varadhan, Ph.D. Assistant Professor, The Center on Aging and Health Division of Geriatric Medicine and Gerontology Johns Hopkins University Ph: (410) 502-2619 Fax: (410) 614-9625 Email: rvarad...@jhmi.edu Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h tml ---------------------------------------------------------------------------- -------- -----Original Message----- From: r-devel-boun...@r-project.org [mailto:r-devel-boun...@r-project.org] On Behalf Of Prof. John C Nash Sent: Sunday, October 25, 2009 6:34 PM To: Prof Brian Ripley Cc: r-devel@r-project.org Subject: Re: [Rd] Buglet in optim() SANN Indeed Brian is correct about the functioning of SANN and the R documentation. I'd misread the "maxit" warning. Things can stay as they are for now. The rest of this msg is for information and an invitation to off-list discussion. I realize my posting opens up the can of worms about what "convergence" means. As someone who has occasionally published discussions on convergence versus termination, I'd certainly prefer to set the 'convergence' flag to 1 for SANN, since we have only a termination at the maximum number of function evaluations and not necessarily a result that can be presumed to be "optim"al. Or perhaps put a note in the description of the 'convergence' flag to indicate the potential misinterpretation with SANN where results need the user to externally check if they are likely to be usable as an optimum. It may be better to call the non-zero results for "convergence" a "termination indicator" rather than an "error code". Some related packages like ucminf give more than one non-zero indicators for results that are generally usable as optima. They are informational rather than errors. Writing our optimx wrapper for a number of methods has forced us to think about how such information is returned and reported through a flag like "convergence". There are several choices and plenty of room for confusion. Right now a few of us are working on improvements for optimization, but the first goal is to get things working OK for smooth, precisely defined functions. However, we have been looking at methods like SANN for multimodal and noisy (i.e., imprecisely defined) functions. For those problems, knowing when you have an acceptable or usable result is never easy. Comments and exchanges welcome -- off-list of course. Cheers, JN Prof Brian Ripley wrote: > As the posting guide says, please read the help carefully before > posting. It does say: > > ?maxit? The maximum number of iterations. Defaults to ?100? for > the derivative-based methods, and ?500? for ?"Nelder-Mead"?. > For ?"SANN"? ?maxit? gives the total number of function > evaluations. There is no other stopping criterion. > ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ > Defaults to ?10000?. > > so this is indicating 'successful convergence' as documented. > > On Tue, 20 Oct 2009, Prof. John C Nash wrote: > >> I think SANN method in optim() is failing to report that it has not >> converged. Here is an example >> >> genrose.f<- function(x, gs=NULL){ # objective function >> ## One generalization of the Rosenbrock banana valley function (n >> parameters) >> n <- length(x) >> if(is.null(gs)) { gs=100.0 } >> fval<-1.0 + sum (gs*(x[1:(n-1)]^2 - x[2:n])^2 + (x[2:n] - 1)^2) >> return(fval) >> } >> >> xx<-rep(pi,10) >> test<-optim(xx,genrose.f,method="SANN",control=list(maxit=1000,trace=1)) >> print(test) >> >> >> Output is: >> >>> source("tsann.R") >> sann objective function values >> initial value 40781.805639 >> iter 999 value 29.969529 >> final value 29.969529 >> sann stopped after 999 iterations >> $par >> [1] 1.0135254 0.9886862 1.1348609 1.0798927 1.0327997 1.1087146 1.1642130 >> [8] 1.3038754 1.8628391 3.7569285 >> >> $value >> [1] 29.96953 >> >> $counts >> function gradient >> 1000 NA >> >> $convergence >> [1] 0 <------ THIS SHOULD BE 1 ACCORDING TO THE DOCS > > It _should_ be 0 according to the help page. > >> >> $message >> NULL >> >> Note terribly important, but maybe fixable. >> >> Cheers, >> >> John Nash >> >> ______________________________________________ >> R-devel@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-devel >> > ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
