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multistart

General-purpose optimization - multiple starts


Description

Multiple initial parameter wrapper function that calls other R tools for optimization, including the existing optimr() function.

Usage

multistart(parmat, fn, gr=NULL, lower=-Inf, upper=Inf, 
            method=NULL, hessian=FALSE,
            control=list(),
             ...)

Arguments

parmat

a matrix of which each row is a set of initial values for the parameters for which optimal values are to be found. Names on the elements of this vector are preserved and used in the results data frame.

fn

A function to be minimized (or maximized), with first argument the vector of parameters over which minimization is to take place. It should return a scalar result.

gr

A function to return (as a vector) the gradient for those methods that can use this information.

If 'gr' is NULL, a finite-difference approximation will be used. An open question concerns whether the SAME approximation code used for all methods, or whether there are differences that could/should be examined?

lower, upper

Bounds on the variables for methods such as "L-BFGS-B" that can handle box (or bounds) constraints.

method

A list of the methods to be used. Note that this is an important change from optim() that allows just one method to be specified. See ‘Details’. The default of NULL causes an appropriate set of methods to be supplied depending on the presence or absence of bounds on the parameters. The default unconstrained set is Rvmminu, Rcgminu, lbfgsb3, newuoa and nmkb. The default bounds constrained set is Rvmminb, Rcgminb, lbfgsb3, bobyqa and nmkb.

hessian

A logical control that if TRUE forces the computation of an approximation to the Hessian at the final set of parameters. If FALSE (default), the hessian is calculated if needed to provide the KKT optimality tests (see kkt in ‘Details’ for the control list). This setting is provided primarily for compatibility with optim().

control

A list of control parameters. See ‘Details’.

...

For optimx further arguments to be passed to fn and gr; otherwise, further arguments are not used.

Details

Note that arguments after ... must be matched exactly.

See optimr() for other details.

Value

An array with one row per set of starting parameters. Each row contains:

par

The best set of parameters found.

value

The value of ‘fn’ corresponding to ‘par’.

counts

A two-element integer vector giving the number of calls to ‘fn’ and ‘gr’ respectively. This excludes those calls needed to compute the Hessian, if requested, and any calls to ‘fn’ to compute a finite-difference approximation to the gradient.

convergence

An integer code. ‘0’ indicates successful completion

message

A character string giving any additional information returned by the optimizer, or ‘NULL’.

hessian

Always NULL for this routine.

Source

See the manual pages for optim() and the packages the DESCRIPTION suggests.

Examples

fnR <- function (x, gs=100.0) 
{
    n <- length(x)
    x1 <- x[2:n]
    x2 <- x[1:(n - 1)]
    sum(gs * (x1 - x2^2)^2 + (1 - x2)^2)
}
grR <- function (x, gs=100.0) 
{
    n <- length(x)
    g <- rep(NA, n)
    g[1] <- 2 * (x[1] - 1) + 4*gs * x[1] * (x[1]^2 - x[2])
    if (n > 2) {
        ii <- 2:(n - 1)
        g[ii] <- 2 * (x[ii] - 1) + 4 * gs * x[ii] * (x[ii]^2 - x[ii + 
            1]) + 2 * gs * (x[ii] - x[ii - 1]^2)
    }
    g[n] <- 2 * gs * (x[n] - x[n - 1]^2)
    g
}

pm <- rbind(rep(1,4), rep(pi, 4), rep(-2,4), rep(0,4), rep(20,4))
pm <- as.matrix(pm)
cat("multistart matrix:\n")
print(pm)

ans <- multistart(pm, fnR, grR, method="Rvmmin", control=list(trace=0))
ans

optimx

Expanded Replacement and Extension of the 'optim' Function

v2020-4.2
GPL-2
Authors
John C Nash [aut, cre], Ravi Varadhan [aut], Gabor Grothendieck [ctb]
Initial release
2020-04-02

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