LS.info: Local-Search Information

In NMOF: Numerical Methods and Optimization in Finance

Local-Search Information

Description

The function can be called from the objective and neighbourhood function during a run of LSopt; it provides information such as the current iteration.

Usage

  LS.info(n = 0L)

Arguments

n	generational offset; see Details.

Details

This function is still experimental.

The function can be called in the neighbourhood function or the objective function during a run of LSopt. It evaluates to a list with the state of the optimisation run, such as the current iteration.

LS.info relies on parent.frame to retrieve its information. If the function is called within another function in the neighbourhood or objective function, the argument n needs to be increased.

Value

A list

iteration	current iteration
step	same as ‘iteration’

Author(s)

Enrico Schumann

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/C2017-0-01621-X")}

Schumann, E. (2023) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual

See Also

LSopt, TA.info

Examples

## MINIMAL EXAMPLE for LSopt

## objective function evaluates to a constant
fun <- function(x)
    0

## neighbourhood function does not even change the solution,
## but it reports information
nb <- function(x) {
    tmp <- LS.info()
    cat("current iteration ", tmp$iteration, "\n")
    x
}

## run LS
algo <- list(nS = 5,
             x0 = rep(0, 5),
             neighbour = nb,
             printBar = FALSE)
ignore <- LSopt(fun, algo)

NMOF documentation built on Oct. 20, 2023, 9:07 a.m.