nloptr: stogo – R documentation

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stogo

Stochastic Global Optimization

Description

StoGO is a global optimization algorithm that works by systematically dividing the search space into smaller hyper-rectangles.

Usage

stogo(x0, fn, gr = NULL, lower = NULL, upper = NULL,
  maxeval = 10000, xtol_rel = 1e-06, randomized = FALSE,
  nl.info = FALSE, ...)

Arguments

`x0`	initial point for searching the optimum.
`fn`	objective function that is to be minimized.
`gr`	optional gradient of the objective function.
`lower, upper`	lower and upper bound constraints.
`maxeval`	maximum number of function evaluations.
`xtol_rel`	stopping criterion for relative change reached.
`randomized`	logical; shall a randomizing variant be used?
`nl.info`	logical; shall the original NLopt info been shown.
`...`	additional arguments passed to the function.

Details

StoGO is a global optimization algorithm that works by systematically dividing the search space (which must be bound-constrained) into smaller hyper-rectangles via a branch-and-bound technique, and searching them by a gradient-based local-search algorithm (a BFGS variant), optionally including some randomness.

Value

List with components:

`par`	the optimal solution found so far.
`value`	the function value corresponding to `par`.
`iter`	number of (outer) iterations, see `maxeval`.
`convergence`	integer code indicating successful completion (> 0) or a possible error number (< 0).
`message`	character string produced by NLopt and giving additional information.

Note

Only bound-constrained problems are supported by this algorithm.

Author(s)

Hans W. Borchers

References

S. Zertchaninov and K. Madsen, “A C++ Programme for Global Optimization,” IMM-REP-1998-04, Department of Mathematical Modelling, Technical University of Denmark.

Examples

### Rosenbrock Banana objective function
fn <- function(x)
    return( 100 * (x[2] - x[1] * x[1])^2 + (1 - x[1])^2 )

x0 <- c( -1.2, 1 )
lb <- c( -3, -3 )
ub <- c(  3,  3 )

stogo(x0 = x0, fn = fn, lower = lb, upper = ub)

nloptr

R Interface to NLopt

v1.2.2.2

LGPL-3

Authors

Jelmer Ypma [aut, cre], Steven G. Johnson [aut] (author of the NLopt C library), Hans W. Borchers [ctb], Dirk Eddelbuettel [ctb], Brian Ripley [ctb] (build process on multiple OS), Kurt Hornik [ctb] (build process on multiple OS), Julien Chiquet [ctb], Avraham Adler [ctb] (removal deprecated calls from tests, <https://orcid.org/0000-0002-3039-0703>)

Initial release

2020-07-02