Nothing
R/solv-GNE.R
In GNE: Computation of Generalized Nash Equilibria
Defines functions
print.summary.GNE
summary.GNE
print.GNE
GNE.minpb
GNE.fpeq
GNE.ceq
GNE.nseq
GNE
Documented in
GNE
GNE.ceq
GNE.fpeq
GNE.minpb
GNE.nseq
#############################################################################
# Copyright (c) 2012 Christophe Dutang
#
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program; if not, write to the
# Free Software Foundation, Inc.,
# 59 Temple Place, Suite 330, Boston, MA 02111-1307, USA
#
#############################################################################
### GNE computation in GNE
###
### R functions
###
GNE <- function(approach =
c("non smooth", "fixed point", "minimization", "constrained equation"),
method = "default", xinit, control=list(), ...)
{
approach <- match.arg(approach, c("non smooth", "fixed point", "minimization", "constrained equation"))
if(approach == "non smooth")
res <- GNE.nseq(xinit, method=method, control=control, ...)
if(approach == "constr equation")
res <- GNE.ceq(xinit, method=method, control=control, ...)
if(approach == "fixed point")
res <- GNE.fpeq(xinit, method=method, control.outer=control, ...)
if(approach == "minimization")
res <- GNE.minpb(xinit, method=method, control.outer=control, ...)
c(res, list(approach=approach))
}
GNE.nseq <- function(init, dimx, dimlam, grobj, arggrobj, heobj, argheobj,
constr, argconstr, grconstr, arggrconstr, heconstr, argheconstr,
compl, gcompla, gcomplb, argcompl,
dimmu, joint, argjoint, grjoint, arggrjoint, hejoint, arghejoint,
method="default", control=list(), silent=TRUE, ...)
{
if(method == "default") method <- "Newton"
argtest1 <- testargfunSSR(init, dimx, dimlam, grobj, arggrobj, constr, argconstr, grconstr, arggrconstr,
compl, argcompl, dimmu, joint, argjoint, grjoint, arggrjoint)
#basic tests for funSSR
test.try <- try( funSSR(init, dimx, dimlam, grobj, arggrobj, constr, argconstr,
grconstr, arggrconstr, compl, argcompl, dimmu, joint, argjoint,
grjoint, arggrjoint), silent=silent )
if(is(test.try,"try-error"))
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Can't evalate Phi(init).", fvec=NA) )
if(any(is.nan(test.try)) || any(is.infinite(test.try)) )
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Phi(init) has infinite or NaN values.", fvec=NA) )
argtest2 <- testargjacSSR(init, dimx, dimlam, heobj, argheobj, constr, argconstr, grconstr, arggrconstr,
heconstr, argheconstr, gcompla, gcomplb, argcompl, dimmu, joint, argjoint, grjoint, arggrjoint,
hejoint, arghejoint)
#basic tests for jacSSR
test.try <- try( jacSSR(init, dimx, dimlam, heobj, argheobj, constr, argconstr, grconstr, arggrconstr,
heconstr, argheconstr, gcompla, gcomplb, argcompl, dimmu, joint, argjoint,
grjoint, arggrjoint, hejoint, arghejoint), silent=silent )
if(is(test.try,"try-error"))
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Can't evaluate Jac Phi(init).", fvec=NA) )
if(any(is.nan(test.try)) || any(is.infinite(test.try)) )
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Jac Phi(init) has infinite or NaN values.", fvec=NA) )
#wrapped functions
myfunSSR <- function(x, argfun, argjac)
evalwitharglist(funSSR, x, argfun)
myjacSSR <- function(x, argfun, argjac)
evalwitharglist(jacSSR, x, argjac)
arg1 <- list(argtest1$dimx, argtest1$dimlam, argtest1$grobj, argtest1$arggrobj,
argtest1$constr, argtest1$argconstr, argtest1$grconstr, argtest1$arggrconstr,
argtest1$compl, argtest1$argcompl, argtest1$dimmu,
argtest1$joint, argtest1$argjoint, argtest1$grjoint, argtest1$arggrjoint)
arg2 <- list(argtest2$dimx, argtest2$dimlam, argtest2$heobj, argtest2$argheobj,
argtest2$constr, argtest2$argconstr, argtest2$grconstr, argtest2$arggrconstr,
argtest2$heconstr, argtest2$argheconstr, argtest2$gcompla, argtest2$gcomplb, argtest2$argcompl,
argtest2$dimmu, argtest2$joint, argtest2$argjoint, argtest2$grjoint,
argtest2$arggrjoint, argtest2$hejoint, argtest2$arghejoint)
if(!silent)
print("init completed.")
res <- nseq(init, myfunSSR, myjacSSR, argfun=arg1, argjac=arg2, method=method,
control=control, silent=silent, ...)
class(res) <- "GNE"
if(!silent)
print("computation completed.")
res
}
GNE.ceq <- function(init, dimx, dimlam, grobj, arggrobj, heobj, argheobj,
constr, argconstr, grconstr, arggrconstr, heconstr, argheconstr,
dimmu, joint, argjoint, grjoint, arggrjoint, hejoint, arghejoint,
method="PR", control=list(), silent=TRUE, ...)
{
if(method == "default") method <- "PR"
argtest1 <- testargfunCER(init, dimx, dimlam, grobj, arggrobj, constr, argconstr,
grconstr, arggrconstr, dimmu, joint, argjoint, grjoint, arggrjoint)
#basic tests for funCER
test.try <- try( funCER(init, dimx, dimlam, grobj, arggrobj, constr, argconstr,
grconstr, arggrconstr, dimmu, joint, argjoint, grjoint, arggrjoint), silent=silent )
if(is(test.try,"try-error"))
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Can't evalate H(init).", fvec=NA) )
if(any(is.nan(test.try)) || any(is.infinite(test.try)) )
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="H(init) has infinite or NaN values.", fvec=NA) )
argtest2 <- testargjacCER(init, dimx, dimlam, heobj, argheobj, constr, argconstr, grconstr,
arggrconstr, heconstr, argheconstr, dimmu, joint, argjoint, grjoint,
arggrjoint, hejoint, arghejoint)
#basic tests for jacCER
test.try <- try( jacCER(init, dimx, dimlam, heobj, argheobj, constr, argconstr, grconstr,
arggrconstr, heconstr, argheconstr, dimmu, joint, argjoint,
grjoint, arggrjoint, hejoint, arghejoint), silent=silent )
if(is(test.try,"try-error"))
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Can't evaluate Jac H(init).", fvec=NA) )
if(any(is.nan(test.try)) || any(is.infinite(test.try)) )
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Jac H(init) has infinite or NaN values.", fvec=NA) )
#wrapped functions
myfunCER <- function(x, argfun, argjac)
evalwitharglist(funCER, x, argfun)
myjacCER <- function(x, argfun, argjac)
evalwitharglist(jacCER, x, argjac)
arg1 <- list(dimx = argtest1$dimx, dimlam = argtest1$dimlam, grobj = argtest1$grobj,
arggrobj = argtest1$arggrobj, constr = argtest1$constr, argconstr = argtest1$argconstr,
grconstr = argtest1$grconstr, arggrconstr = argtest1$arggrconstr, dimmu = argtest1$dimmu,
joint = argtest1$joint, argjoint = argtest1$argjoint, grjoint = argtest1$grjoint,
arggrjoint = argtest1$arggrjoint)
arg2 <- list(argtest2$dimx, argtest2$dimlam, argtest2$heobj, argtest2$argheobj,
argtest2$constr, argtest2$argconstr, argtest2$grconstr, argtest2$arggrconstr,
argtest2$heconstr, argtest2$argheconstr, argtest2$dimmu, argtest2$joint,
argtest2$argjoint, argtest2$grjoint, argtest2$arggrjoint,
argtest2$hejoint, argtest2$arghejoint)
if(!silent)
print("init completed.")
res <- ceq(init, dimx, dimlam, Hfinal=myfunCER, jacHfinal=myjacCER,
argfun=arg1, argjac=arg2, method=method, control=control,
silent=silent, ...)
class(res) <- "GNE"
if(!silent)
print("computation completed.")
res
}
GNE.fpeq <- function(init, dimx, obj, argobj, grobj, arggrobj,
heobj, argheobj, joint, argjoint, jacjoint, argjacjoint,
method = "default", problem = c("NIR", "VIR"),
merit = c("NI", "VI", "FP"), order.method=1, control.outer=list(),
control.inner=list(), silent=TRUE, param=list(), stepfunc, argstep, ...)
{
if(method == "default")
method <- "MPE"
method <- match.arg(method, c("pure", "vH", "UR", "RRE", "MPE", "SqRRE", "SqMPE"))
problem <- match.arg(problem)
merit <- match.arg(merit)
if(method %in% c("vH") && merit == "FP")
stop("incompatible method and merit arguments.")
if(order.method > 3 || order.method < 1)
stop("wrong order argument.")
if(problem == "NIR")
{
arggap <- testarggapNIR(init, dimx, obj, argobj)
argfp <- testargfpNIR(init, dimx, obj, argobj, joint, argjoint,
grobj, arggrobj, jacjoint, argjacjoint)
yfun <- function(x)
fpNIR(x, argfp$dimx, argfp$obj, argfp$argobj, argfp$joint,
argfp$argjoint, argfp$grobj, argfp$arggrobj, argfp$jacjoint,
argfp$argjacjoint, echo=!silent, control=control.inner,
param=param, ...)
if(merit == "FP")
merit <- NULL
else if(merit == "NI")
{
merit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gapNIR(x, y$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(1,0), iter=y$iter)
}else
list(value=gapNIR(x, y, arggap$dimx, arggap$obj, arggap$argobj,
param=param, echo=!silent),
counts=c(1,0), iter=0)
}
}else
stop("wrong merit function")
}
if(problem == "VIR")
{
arggap <- testarggapVIR(init, dimx, grobj, arggrobj)
argfp <- testargfpVIR(init, dimx, obj, argobj, joint, argjoint,
grobj, arggrobj, jacjoint, argjacjoint)
yfun <- function(x)
fpVIR(x, argfp$dimx, argfp$obj, argfp$argobj, argfp$joint,
argfp$argjoint, argfp$grobj, argfp$arggrobj, argfp$jacjoint,
argfp$argjacjoint, echo=!silent, control=control.inner,
param=param, ...)
if(merit == "FP")
merit <- NULL
else if(merit == "VI")
{
merit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gapVIR(x, y$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(1,0), iter=y$iter)
}else
list(value=gapVIR(x, y, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param, echo=!silent),
counts=c(1,0), iter=0)
}
}else
stop("wrong merit function")
}
if(!silent)
{
print("init completed.")
cat("control parameters for fpeq.\n")
print(control.inner)
print(control.outer)
}
res <- fpeq(init, fn=yfun, merit=merit, method=method, control=control.outer, stepfunc=stepfunc,
argstep=argstep, silent=silent, order.method=order.method, ...)
class(res) <- "GNE"
if(!silent)
print("computation completed.")
res
}
GNE.minpb <- function(init, dimx, obj, argobj, grobj, arggrobj,
heobj, argheobj, joint, argjoint, jacjoint, argjacjoint,
method="default", problem = c("NIR", "VIR"), control.outer=list(),
control.inner=list(), silent=TRUE, param=list(), optim.type=c("free","constr"), ...)
{
if(method == "default")
method <- "BFGS"
method <- match.arg(method, c("BB","BFGS", "CG"))
problem <- match.arg(problem)
optim.type <- match.arg(optim.type)
if(length(param) != 0)
if(any(!names(param) %in% c("alpha", "beta")))
stop("argument param should be a named list with alpha and optionnaly beta")
if(problem == "NIR")
{
arggap <- testarggapNIR(init, dimx, obj, argobj)
arggradgap <- testarggradgapNIR(init, dimx, grobj, arggrobj)
argfp <- testargfpNIR(init, dimx, obj, argobj, joint, argjoint,
grobj, arggrobj, jacjoint, argjacjoint)
yfun <- function(x, param=param)
fpNIR(x, argfp$dimx, argfp$obj, argfp$argobj, argfp$joint,
argfp$argjoint, argfp$grobj, argfp$arggrobj, argfp$jacjoint,
argfp$argjacjoint, echo=!silent, control=control.inner,
param=param, ...)
if(length(param) <= 1)
{
merit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gapNIR(x, y$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(1,0), iter=y$iter)
}else
list(value=gapNIR(x, y, arggap$dimx, arggap$obj, arggap$argobj,
param=param, echo=!silent), counts=c(1,0), iter=0)
}
gradmerit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gradxgapNIR(x, y$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(0,1), iter=y$iter)
}else
list(value=gradxgapNIR(x, y, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, param=param, echo=!silent), counts=c(0,1), iter=0)
}
}else if(length(param) == 2)
{
merit <- function(x, y=NULL)
{
yalpha <- yfun(x, param["alpha"])
Valpha <- gapNIR(x, yalpha$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param["alpha"], echo=!silent)
yalpha$iter <- ifelse(!is.na(yalpha$counts[2]), yalpha$counts[2], yalpha$counts[1])
ybeta <- yfun(x, param["beta"])
Vbeta <- gapNIR(x, ybeta$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param["beta"], echo=!silent)
ybeta$iter <- ifelse(!is.na(ybeta$counts[2]), ybeta$counts[2], ybeta$counts[1])
list(value=(Valpha-Vbeta)^2, counts=yalpha$counts+ybeta$counts+c(1,0), iter=yalpha$iter+ybeta$iter)
}
gradmerit <- function(x, y=NULL)
{
yalpha <- yfun(x, param["alpha"])
Valpha <- gapNIR(x, yalpha$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param["alpha"], echo=!silent)
grValpha <- gradxgapNIR(x, yalpha$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, param=param["alpha"], echo=!silent)
yalpha$iter <- ifelse(!is.na(yalpha$counts[2]), yalpha$counts[2], yalpha$counts[1])
ybeta <- yfun(x, param["beta"])
Vbeta <- gapNIR(x, ybeta$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param["beta"], echo=!silent)
grVbeta <- gradxgapNIR(x, ybeta$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, param=param["beta"], echo=!silent)
ybeta$iter <- ifelse(!is.na(ybeta$counts[2]), ybeta$counts[2], ybeta$counts[1])
list(value=2*(grValpha-grVbeta)*(Valpha-Vbeta), counts=yalpha$counts+ybeta$counts+c(1,1), iter=yalpha$iter+ybeta$iter)
}
}else
stop("wrong argument param.")
}
if(problem == "VIR")
{
arggap <- testarggapVIR(init, dimx, grobj, arggrobj)
arggradgap <- testarggradxgapVIR(init, dimx, grobj, arggrobj, heobj, argheobj)
argfp <- testargfpVIR(init, dimx, obj, argobj, joint, argjoint,
grobj, arggrobj, jacjoint, argjacjoint)
yfun <- function(x, param=param)
fpVIR(x, argfp$dimx, argfp$obj, argfp$argobj, argfp$joint,
argfp$argjoint, argfp$grobj, argfp$arggrobj, argfp$jacjoint,
argfp$argjacjoint, echo=!silent, control=control.inner,
param=param, ...)
if(length(param) <= 1)
{
merit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gapVIR(x, y$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(1,0), iter=y$iter)
}else
list(value=gapVIR(x, y, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param, echo=!silent), counts=c(1,0), iter=0)
}
gradmerit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gradxgapVIR(x, y$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, arggradgap$heobj,
arggradgap$argheobj, param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(0,1), iter=y$iter)
}else
list(value=gradxgapVIR(x, y, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, arggradgap$heobj,
arggradgap$argheobj, param=param, echo=!silent), counts=c(0,1), iter=0)
}
}else if(length(param) == 2)
{
merit <- function(x, y=NULL)
{
yalpha <- yfun(x, param["alpha"])
Valpha <- gapVIR(x, yalpha$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param["alpha"], echo=!silent)
yalpha$iter <- ifelse(!is.na(yalpha$counts[2]), yalpha$counts[2], yalpha$counts[1])
ybeta <- yfun(x, param["beta"])
Vbeta <- gapVIR(x, ybeta$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param["beta"], echo=!silent)
ybeta$iter <- ifelse(!is.na(ybeta$counts[2]), ybeta$counts[2], ybeta$counts[1])
list(value=(Valpha-Vbeta)^2, counts=yalpha$counts+ybeta$counts+c(1,1), iter=yalpha$iter+ybeta$iter)
}
gradmerit <- function(x, y=NULL)
{
yalpha <- yfun(x, param["alpha"])
Valpha <- gapVIR(x, yalpha$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param["alpha"], echo=!silent)
grValpha <- gradxgapVIR(x, yalpha$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, arggradgap$heobj,
arggradgap$argheobj, param=param["alpha"], echo=!silent)
yalpha$iter <- ifelse(!is.na(yalpha$counts[2]), yalpha$counts[2], yalpha$counts[1])
ybeta <- yfun(x, param["beta"])
Vbeta <- gapVIR(x, ybeta$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param["beta"], echo=!silent)
grVbeta <- gradxgapVIR(x, ybeta$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, arggradgap$heobj,
arggradgap$argheobj, param=param["beta"], echo=!silent)
ybeta$iter <- ifelse(!is.na(ybeta$counts[2]), ybeta$counts[2], ybeta$counts[1])
list(value=2*(grValpha-grVbeta)*(Valpha-Vbeta), counts=yalpha$counts+ybeta$counts+c(1,1), iter=yalpha$iter+ybeta$iter)
}
}else
stop("wrong argument param.")
}
if(optim.type == "constr")
res <- minpb(init, merit, gr=gradmerit, hin=joint, arghin=argjoint,
hin.jac=jacjoint, arghin.jac=argjacjoint, method=method,
control=control.outer, silent=silent, ...)
if(optim.type == "free")
res <- minpb(init, merit, gr=gradmerit, method=method,
control=control.outer, silent=silent, ...)
class(res) <- "GNE"
res
}
#print function
print.GNE <- function(x, ...)
{
if (!inherits(x, "GNE"))
stop("Use only with 'GNE' objects")
cat("GNE:", x$par, "\nwith optimal norm", x$value, "\n")
cat("after ", x$iter, "iterations with exit code", x$code, ".\n")
cat("Output message:", x$message, "\n")
if(!is.null(x$counts))
cat("Function/grad/hessian calls:", x$counts, "\n")
if(!is.null(x$outer.counts))
cat("Outer Function/grad/hessian calls:", x$outer.counts, "\n")
if(!is.null(x$inner.counts))
cat("Inner Function/grad/hessian calls:", x$inner.counts, "\n")
if(!is.null(x$fvec))
cat("Optimal (vector) value:", x$fvec, "\n")
}
#summary function
summary.GNE <- function(object, ...)
{
structure(object, class = c("summary.GNE", class(object)))
}
#print function
print.summary.GNE <- function(x, ...)
{
if (!inherits(x, "GNE"))
stop("Use only with 'GNE' objects")
cat("GNE:", x$par, "\nwith optimal norm", x$value, "\n")
cat("after ", x$iter, "iterations with exit code", x$code, ".\n")
if(!is.null(x$playerdead))
cat("dead players? ", x$playerdead, ".\n")
}
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GNE documentation built on March 31, 2023, 9:25 p.m.
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Defines functions print.summary.GNE summary.GNE print.GNE GNE.minpb GNE.fpeq GNE.ceq GNE.nseq GNE
Documented in GNE GNE.ceq GNE.fpeq GNE.minpb GNE.nseq
#############################################################################
# Copyright (c) 2012 Christophe Dutang
#
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program; if not, write to the
# Free Software Foundation, Inc.,
# 59 Temple Place, Suite 330, Boston, MA 02111-1307, USA
#
#############################################################################
### GNE computation in GNE
###
### R functions
###
GNE <- function(approach =
c("non smooth", "fixed point", "minimization", "constrained equation"),
method = "default", xinit, control=list(), ...)
{
approach <- match.arg(approach, c("non smooth", "fixed point", "minimization", "constrained equation"))
if(approach == "non smooth")
res <- GNE.nseq(xinit, method=method, control=control, ...)
if(approach == "constr equation")
res <- GNE.ceq(xinit, method=method, control=control, ...)
if(approach == "fixed point")
res <- GNE.fpeq(xinit, method=method, control.outer=control, ...)
if(approach == "minimization")
res <- GNE.minpb(xinit, method=method, control.outer=control, ...)
c(res, list(approach=approach))
}
GNE.nseq <- function(init, dimx, dimlam, grobj, arggrobj, heobj, argheobj,
constr, argconstr, grconstr, arggrconstr, heconstr, argheconstr,
compl, gcompla, gcomplb, argcompl,
dimmu, joint, argjoint, grjoint, arggrjoint, hejoint, arghejoint,
method="default", control=list(), silent=TRUE, ...)
{
if(method == "default") method <- "Newton"
argtest1 <- testargfunSSR(init, dimx, dimlam, grobj, arggrobj, constr, argconstr, grconstr, arggrconstr,
compl, argcompl, dimmu, joint, argjoint, grjoint, arggrjoint)
#basic tests for funSSR
test.try <- try( funSSR(init, dimx, dimlam, grobj, arggrobj, constr, argconstr,
grconstr, arggrconstr, compl, argcompl, dimmu, joint, argjoint,
grjoint, arggrjoint), silent=silent )
if(is(test.try,"try-error"))
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Can't evalate Phi(init).", fvec=NA) )
if(any(is.nan(test.try)) || any(is.infinite(test.try)) )
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Phi(init) has infinite or NaN values.", fvec=NA) )
argtest2 <- testargjacSSR(init, dimx, dimlam, heobj, argheobj, constr, argconstr, grconstr, arggrconstr,
heconstr, argheconstr, gcompla, gcomplb, argcompl, dimmu, joint, argjoint, grjoint, arggrjoint,
hejoint, arghejoint)
#basic tests for jacSSR
test.try <- try( jacSSR(init, dimx, dimlam, heobj, argheobj, constr, argconstr, grconstr, arggrconstr,
heconstr, argheconstr, gcompla, gcomplb, argcompl, dimmu, joint, argjoint,
grjoint, arggrjoint, hejoint, arghejoint), silent=silent )
if(is(test.try,"try-error"))
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Can't evaluate Jac Phi(init).", fvec=NA) )
if(any(is.nan(test.try)) || any(is.infinite(test.try)) )
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Jac Phi(init) has infinite or NaN values.", fvec=NA) )
#wrapped functions
myfunSSR <- function(x, argfun, argjac)
evalwitharglist(funSSR, x, argfun)
myjacSSR <- function(x, argfun, argjac)
evalwitharglist(jacSSR, x, argjac)
arg1 <- list(argtest1$dimx, argtest1$dimlam, argtest1$grobj, argtest1$arggrobj,
argtest1$constr, argtest1$argconstr, argtest1$grconstr, argtest1$arggrconstr,
argtest1$compl, argtest1$argcompl, argtest1$dimmu,
argtest1$joint, argtest1$argjoint, argtest1$grjoint, argtest1$arggrjoint)
arg2 <- list(argtest2$dimx, argtest2$dimlam, argtest2$heobj, argtest2$argheobj,
argtest2$constr, argtest2$argconstr, argtest2$grconstr, argtest2$arggrconstr,
argtest2$heconstr, argtest2$argheconstr, argtest2$gcompla, argtest2$gcomplb, argtest2$argcompl,
argtest2$dimmu, argtest2$joint, argtest2$argjoint, argtest2$grjoint,
argtest2$arggrjoint, argtest2$hejoint, argtest2$arghejoint)
if(!silent)
print("init completed.")
res <- nseq(init, myfunSSR, myjacSSR, argfun=arg1, argjac=arg2, method=method,
control=control, silent=silent, ...)
class(res) <- "GNE"
if(!silent)
print("computation completed.")
res
}
GNE.ceq <- function(init, dimx, dimlam, grobj, arggrobj, heobj, argheobj,
constr, argconstr, grconstr, arggrconstr, heconstr, argheconstr,
dimmu, joint, argjoint, grjoint, arggrjoint, hejoint, arghejoint,
method="PR", control=list(), silent=TRUE, ...)
{
if(method == "default") method <- "PR"
argtest1 <- testargfunCER(init, dimx, dimlam, grobj, arggrobj, constr, argconstr,
grconstr, arggrconstr, dimmu, joint, argjoint, grjoint, arggrjoint)
#basic tests for funCER
test.try <- try( funCER(init, dimx, dimlam, grobj, arggrobj, constr, argconstr,
grconstr, arggrconstr, dimmu, joint, argjoint, grjoint, arggrjoint), silent=silent )
if(is(test.try,"try-error"))
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Can't evalate H(init).", fvec=NA) )
if(any(is.nan(test.try)) || any(is.infinite(test.try)) )
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="H(init) has infinite or NaN values.", fvec=NA) )
argtest2 <- testargjacCER(init, dimx, dimlam, heobj, argheobj, constr, argconstr, grconstr,
arggrconstr, heconstr, argheconstr, dimmu, joint, argjoint, grjoint,
arggrjoint, hejoint, arghejoint)
#basic tests for jacCER
test.try <- try( jacCER(init, dimx, dimlam, heobj, argheobj, constr, argconstr, grconstr,
arggrconstr, heconstr, argheconstr, dimmu, joint, argjoint,
grjoint, arggrjoint, hejoint, arghejoint), silent=silent )
if(is(test.try,"try-error"))
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Can't evaluate Jac H(init).", fvec=NA) )
if(any(is.nan(test.try)) || any(is.infinite(test.try)) )
return( list(par= NA, value=NA, counts=NA, iter=NA, code=100,
message="Jac H(init) has infinite or NaN values.", fvec=NA) )
#wrapped functions
myfunCER <- function(x, argfun, argjac)
evalwitharglist(funCER, x, argfun)
myjacCER <- function(x, argfun, argjac)
evalwitharglist(jacCER, x, argjac)
arg1 <- list(dimx = argtest1$dimx, dimlam = argtest1$dimlam, grobj = argtest1$grobj,
arggrobj = argtest1$arggrobj, constr = argtest1$constr, argconstr = argtest1$argconstr,
grconstr = argtest1$grconstr, arggrconstr = argtest1$arggrconstr, dimmu = argtest1$dimmu,
joint = argtest1$joint, argjoint = argtest1$argjoint, grjoint = argtest1$grjoint,
arggrjoint = argtest1$arggrjoint)
arg2 <- list(argtest2$dimx, argtest2$dimlam, argtest2$heobj, argtest2$argheobj,
argtest2$constr, argtest2$argconstr, argtest2$grconstr, argtest2$arggrconstr,
argtest2$heconstr, argtest2$argheconstr, argtest2$dimmu, argtest2$joint,
argtest2$argjoint, argtest2$grjoint, argtest2$arggrjoint,
argtest2$hejoint, argtest2$arghejoint)
if(!silent)
print("init completed.")
res <- ceq(init, dimx, dimlam, Hfinal=myfunCER, jacHfinal=myjacCER,
argfun=arg1, argjac=arg2, method=method, control=control,
silent=silent, ...)
class(res) <- "GNE"
if(!silent)
print("computation completed.")
res
}
GNE.fpeq <- function(init, dimx, obj, argobj, grobj, arggrobj,
heobj, argheobj, joint, argjoint, jacjoint, argjacjoint,
method = "default", problem = c("NIR", "VIR"),
merit = c("NI", "VI", "FP"), order.method=1, control.outer=list(),
control.inner=list(), silent=TRUE, param=list(), stepfunc, argstep, ...)
{
if(method == "default")
method <- "MPE"
method <- match.arg(method, c("pure", "vH", "UR", "RRE", "MPE", "SqRRE", "SqMPE"))
problem <- match.arg(problem)
merit <- match.arg(merit)
if(method %in% c("vH") && merit == "FP")
stop("incompatible method and merit arguments.")
if(order.method > 3 || order.method < 1)
stop("wrong order argument.")
if(problem == "NIR")
{
arggap <- testarggapNIR(init, dimx, obj, argobj)
argfp <- testargfpNIR(init, dimx, obj, argobj, joint, argjoint,
grobj, arggrobj, jacjoint, argjacjoint)
yfun <- function(x)
fpNIR(x, argfp$dimx, argfp$obj, argfp$argobj, argfp$joint,
argfp$argjoint, argfp$grobj, argfp$arggrobj, argfp$jacjoint,
argfp$argjacjoint, echo=!silent, control=control.inner,
param=param, ...)
if(merit == "FP")
merit <- NULL
else if(merit == "NI")
{
merit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gapNIR(x, y$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(1,0), iter=y$iter)
}else
list(value=gapNIR(x, y, arggap$dimx, arggap$obj, arggap$argobj,
param=param, echo=!silent),
counts=c(1,0), iter=0)
}
}else
stop("wrong merit function")
}
if(problem == "VIR")
{
arggap <- testarggapVIR(init, dimx, grobj, arggrobj)
argfp <- testargfpVIR(init, dimx, obj, argobj, joint, argjoint,
grobj, arggrobj, jacjoint, argjacjoint)
yfun <- function(x)
fpVIR(x, argfp$dimx, argfp$obj, argfp$argobj, argfp$joint,
argfp$argjoint, argfp$grobj, argfp$arggrobj, argfp$jacjoint,
argfp$argjacjoint, echo=!silent, control=control.inner,
param=param, ...)
if(merit == "FP")
merit <- NULL
else if(merit == "VI")
{
merit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gapVIR(x, y$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(1,0), iter=y$iter)
}else
list(value=gapVIR(x, y, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param, echo=!silent),
counts=c(1,0), iter=0)
}
}else
stop("wrong merit function")
}
if(!silent)
{
print("init completed.")
cat("control parameters for fpeq.\n")
print(control.inner)
print(control.outer)
}
res <- fpeq(init, fn=yfun, merit=merit, method=method, control=control.outer, stepfunc=stepfunc,
argstep=argstep, silent=silent, order.method=order.method, ...)
class(res) <- "GNE"
if(!silent)
print("computation completed.")
res
}
GNE.minpb <- function(init, dimx, obj, argobj, grobj, arggrobj,
heobj, argheobj, joint, argjoint, jacjoint, argjacjoint,
method="default", problem = c("NIR", "VIR"), control.outer=list(),
control.inner=list(), silent=TRUE, param=list(), optim.type=c("free","constr"), ...)
{
if(method == "default")
method <- "BFGS"
method <- match.arg(method, c("BB","BFGS", "CG"))
problem <- match.arg(problem)
optim.type <- match.arg(optim.type)
if(length(param) != 0)
if(any(!names(param) %in% c("alpha", "beta")))
stop("argument param should be a named list with alpha and optionnaly beta")
if(problem == "NIR")
{
arggap <- testarggapNIR(init, dimx, obj, argobj)
arggradgap <- testarggradgapNIR(init, dimx, grobj, arggrobj)
argfp <- testargfpNIR(init, dimx, obj, argobj, joint, argjoint,
grobj, arggrobj, jacjoint, argjacjoint)
yfun <- function(x, param=param)
fpNIR(x, argfp$dimx, argfp$obj, argfp$argobj, argfp$joint,
argfp$argjoint, argfp$grobj, argfp$arggrobj, argfp$jacjoint,
argfp$argjacjoint, echo=!silent, control=control.inner,
param=param, ...)
if(length(param) <= 1)
{
merit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gapNIR(x, y$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(1,0), iter=y$iter)
}else
list(value=gapNIR(x, y, arggap$dimx, arggap$obj, arggap$argobj,
param=param, echo=!silent), counts=c(1,0), iter=0)
}
gradmerit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gradxgapNIR(x, y$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(0,1), iter=y$iter)
}else
list(value=gradxgapNIR(x, y, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, param=param, echo=!silent), counts=c(0,1), iter=0)
}
}else if(length(param) == 2)
{
merit <- function(x, y=NULL)
{
yalpha <- yfun(x, param["alpha"])
Valpha <- gapNIR(x, yalpha$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param["alpha"], echo=!silent)
yalpha$iter <- ifelse(!is.na(yalpha$counts[2]), yalpha$counts[2], yalpha$counts[1])
ybeta <- yfun(x, param["beta"])
Vbeta <- gapNIR(x, ybeta$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param["beta"], echo=!silent)
ybeta$iter <- ifelse(!is.na(ybeta$counts[2]), ybeta$counts[2], ybeta$counts[1])
list(value=(Valpha-Vbeta)^2, counts=yalpha$counts+ybeta$counts+c(1,0), iter=yalpha$iter+ybeta$iter)
}
gradmerit <- function(x, y=NULL)
{
yalpha <- yfun(x, param["alpha"])
Valpha <- gapNIR(x, yalpha$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param["alpha"], echo=!silent)
grValpha <- gradxgapNIR(x, yalpha$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, param=param["alpha"], echo=!silent)
yalpha$iter <- ifelse(!is.na(yalpha$counts[2]), yalpha$counts[2], yalpha$counts[1])
ybeta <- yfun(x, param["beta"])
Vbeta <- gapNIR(x, ybeta$par, arggap$dimx, arggap$obj, arggap$argobj,
param=param["beta"], echo=!silent)
grVbeta <- gradxgapNIR(x, ybeta$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, param=param["beta"], echo=!silent)
ybeta$iter <- ifelse(!is.na(ybeta$counts[2]), ybeta$counts[2], ybeta$counts[1])
list(value=2*(grValpha-grVbeta)*(Valpha-Vbeta), counts=yalpha$counts+ybeta$counts+c(1,1), iter=yalpha$iter+ybeta$iter)
}
}else
stop("wrong argument param.")
}
if(problem == "VIR")
{
arggap <- testarggapVIR(init, dimx, grobj, arggrobj)
arggradgap <- testarggradxgapVIR(init, dimx, grobj, arggrobj, heobj, argheobj)
argfp <- testargfpVIR(init, dimx, obj, argobj, joint, argjoint,
grobj, arggrobj, jacjoint, argjacjoint)
yfun <- function(x, param=param)
fpVIR(x, argfp$dimx, argfp$obj, argfp$argobj, argfp$joint,
argfp$argjoint, argfp$grobj, argfp$arggrobj, argfp$jacjoint,
argfp$argjacjoint, echo=!silent, control=control.inner,
param=param, ...)
if(length(param) <= 1)
{
merit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gapVIR(x, y$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(1,0), iter=y$iter)
}else
list(value=gapVIR(x, y, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param, echo=!silent), counts=c(1,0), iter=0)
}
gradmerit <- function(x, y=NULL)
{
if(is.null(y))
{
y <- yfun(x)
res <- gradxgapVIR(x, y$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, arggradgap$heobj,
arggradgap$argheobj, param=param, echo=!silent)
y$iter <- ifelse(!is.na(y$counts[2]), y$counts[2], y$counts[1])
list(value=res, counts=y$counts+c(0,1), iter=y$iter)
}else
list(value=gradxgapVIR(x, y, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, arggradgap$heobj,
arggradgap$argheobj, param=param, echo=!silent), counts=c(0,1), iter=0)
}
}else if(length(param) == 2)
{
merit <- function(x, y=NULL)
{
yalpha <- yfun(x, param["alpha"])
Valpha <- gapVIR(x, yalpha$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param["alpha"], echo=!silent)
yalpha$iter <- ifelse(!is.na(yalpha$counts[2]), yalpha$counts[2], yalpha$counts[1])
ybeta <- yfun(x, param["beta"])
Vbeta <- gapVIR(x, ybeta$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param["beta"], echo=!silent)
ybeta$iter <- ifelse(!is.na(ybeta$counts[2]), ybeta$counts[2], ybeta$counts[1])
list(value=(Valpha-Vbeta)^2, counts=yalpha$counts+ybeta$counts+c(1,1), iter=yalpha$iter+ybeta$iter)
}
gradmerit <- function(x, y=NULL)
{
yalpha <- yfun(x, param["alpha"])
Valpha <- gapVIR(x, yalpha$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param["alpha"], echo=!silent)
grValpha <- gradxgapVIR(x, yalpha$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, arggradgap$heobj,
arggradgap$argheobj, param=param["alpha"], echo=!silent)
yalpha$iter <- ifelse(!is.na(yalpha$counts[2]), yalpha$counts[2], yalpha$counts[1])
ybeta <- yfun(x, param["beta"])
Vbeta <- gapVIR(x, ybeta$par, arggap$dimx, arggap$grobj, arggap$arggrobj,
param=param["beta"], echo=!silent)
grVbeta <- gradxgapVIR(x, ybeta$par, arggradgap$dimx, arggradgap$grobj,
arggradgap$arggrobj, arggradgap$heobj,
arggradgap$argheobj, param=param["beta"], echo=!silent)
ybeta$iter <- ifelse(!is.na(ybeta$counts[2]), ybeta$counts[2], ybeta$counts[1])
list(value=2*(grValpha-grVbeta)*(Valpha-Vbeta), counts=yalpha$counts+ybeta$counts+c(1,1), iter=yalpha$iter+ybeta$iter)
}
}else
stop("wrong argument param.")
}
if(optim.type == "constr")
res <- minpb(init, merit, gr=gradmerit, hin=joint, arghin=argjoint,
hin.jac=jacjoint, arghin.jac=argjacjoint, method=method,
control=control.outer, silent=silent, ...)
if(optim.type == "free")
res <- minpb(init, merit, gr=gradmerit, method=method,
control=control.outer, silent=silent, ...)
class(res) <- "GNE"
res
}
#print function
print.GNE <- function(x, ...)
{
if (!inherits(x, "GNE"))
stop("Use only with 'GNE' objects")
cat("GNE:", x$par, "\nwith optimal norm", x$value, "\n")
cat("after ", x$iter, "iterations with exit code", x$code, ".\n")
cat("Output message:", x$message, "\n")
if(!is.null(x$counts))
cat("Function/grad/hessian calls:", x$counts, "\n")
if(!is.null(x$outer.counts))
cat("Outer Function/grad/hessian calls:", x$outer.counts, "\n")
if(!is.null(x$inner.counts))
cat("Inner Function/grad/hessian calls:", x$inner.counts, "\n")
if(!is.null(x$fvec))
cat("Optimal (vector) value:", x$fvec, "\n")
}
#summary function
summary.GNE <- function(object, ...)
{
structure(object, class = c("summary.GNE", class(object)))
}
#print function
print.summary.GNE <- function(x, ...)
{
if (!inherits(x, "GNE"))
stop("Use only with 'GNE' objects")
cat("GNE:", x$par, "\nwith optimal norm", x$value, "\n")
cat("after ", x$iter, "iterations with exit code", x$code, ".\n")
if(!is.null(x$playerdead))
cat("dead players? ", x$playerdead, ".\n")
}
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