optimizer: Minimize a function

View source: R/optim.R

optimizerR Documentation

Minimize a function

Description

This function serves as a wrapper around optimize, optim, and ctmm's partial-Newton optimization routine, with standardized arguments and return values. It finds the optimal parameters that minimize a function, whether it be a cost, loss, risk, or negative log-likelihood function.

Usage

optimizer(par,fn,...,method="pNewton",lower=-Inf,upper=Inf,period=FALSE,reset=identity,
          control=list())

Arguments

par

Initial parameter guess.

fn

Function to be minimized with first argument par and optional argument zero (see 'Details' below).

...

Optional arguments fed to fn.

method

Optimization algorithm (see 'Details' below).

lower

Lower bound for parameters.

upper

Upper bound for parameters.

period

Period of circular parameters if not FALSE.

reset

Optional function to re-center parameters, if symmetry permits, to prevent numerical underflow.

control

Argument list for the optimization routine (see 'Details' below).

Details

Only method='pNewton' will work in both one dimension and multiple dimensions. Any other method argument will be ignored in one dimension, in favor of optimize with a backup evaluation of nlm (under a log-link) for cases where optimize is known to fail. In multiple dimensions, methods other than pNewton include those detailed in optim.

method='pNewton' is ctmm's partial-Newton optimizer, which is a quasi-Newton method that is more accurate than BFGS-based methods when the gradient of fn must be calculated numerically. In short, while BFGS-based methods provide a single rank-1 update to the Hessian matrix per iteration, the partial-Newton algorithm provides length(par)+1 rank-1 updates to the Hessian matrix per iteration, at the same computational cost. Furthermore, length(par) of those updates have better numerical precision than the BFGS update, meaning that they can be used at smaller step sizes to obtain better numerical precision. The pNewton optimizer also supports several features not found in other R optimizers: the zero argument, the period argument, and parallelization.

The zero argument is an optional argument in fn supported by method='pNewton'. Briefly, if you rewrite a negative log-likelihood of the form fn = ∑_{i=1}^n fn_i as fn = ∑_{i=1}^n ( fn_i - zero/n ) + zero, where zero is the current estimate of the minimum value of fn, then the sum becomes approximately "zeroed" and so the variance in numerical errors caused by the difference in magnitude between fn and fn_i is mitigated. In practice, without the zero argument, log-likelihood functions grow in magnitude with increasing data and then require increasing numerical precision to resolve the same differences in log-likelihood. But absolute differences in log-likelihoods (on the order of 1) are always important, even though most optimization routines more naturally consider relative differences as being important.

The period argument informs method='pNewton' if parameters is circular, such as with angles, and what their periods are.

The control list can take the folowing arguments, with defaults shown:

precision=1/2

Fraction of machine numerical precision to target in the maximized likelihood value. The optimal par will have half this precision. On most computers, precision=1 is approximately 16 decimal digits of precision for the objective function and 8 for the optimal par.

maxit=.Machine$integer.max

Maximum number of iterations allowed for optimization.

parscale=pmin(abs(par),abs(par-lower),abs(upper-par))

The natural scale of the parameters such that variations in par on the order of parscale produce variations in fn on the order of one.

trace=FALSE

Return step-by-step progress on optimization.

cores=1

Perform cores evaluations of fn in parallel, if running in UNIX. cores<=0 will use all available cores, save abs(cores). This feature is only supported by method='pNewton' and is only useful if fn is slow to evaluate, length(par)>1, and the total number of parallel evaluations required does not trigger fork-bomb detection by the OS.

Value

Returns a list with components par for the optimal parameters, value for the minimum value of fn, and possibly other components depending on the optimization routine employed.

Note

method='pNewton' is very stringent about achieving its precision target and assumes that fn has small enough numerical errors (permitting the use of argument zero) to achieve that precision target. If the numerical errors in fn are too large, then the optimizer can fail to converge. ctmm.fit standardizes its input data before optimization, and back-transforms afterwards, as one method to minimize numerical errors in fn.

Author(s)

C. H. Fleming.

See Also

optim, optimize, nlm


ctmm documentation built on Nov. 4, 2022, 5:06 p.m.