R port of the Scilab optimbase module

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Description

The goal of this package is to provide a building block for a large class of specialized optimization methods. This packages manages:

  • the number of variables,

  • the minimum and maximum bounds,

  • the number of non linear inequality constraints,

  • the cost function,

  • the logging system,

  • various termination criteria,

  • etc...

Features The following is a list of features the optimbase toolbox currently provided:

  • Manage cost function

    • optionnal additionnal argument

    • direct communication of the task to perform: cost function or inequality constraints

  • Manage various termination criteria, including:

    • maximum number of iterations,

    • tolerance on function value (relative or absolute),

    • tolerance on the vector of estimated parameter x (relative or absolute),

    • maximum number of evaluations of the cost function,

  • Manage the history of the convergence, including:

    • history of function values,

    • history of optimum point.

  • Provide query features for

    • the status of the optimization process,

    • the number of iterations,

    • the number of function evaluations,

    • function value at initial point,

    • function value at optimal point,

    • the optimum parameters,

    • etc...

Details

Package: optimbase
Type: Package
Version: 1.0-9
Date: 2014-03-01
License: CeCILL-2
LazyLoad: yes

See vignette('optimbase',package='optimbase') for more information.

Author(s)

Author of Scilab optimbase module: Michael Baudin (INRIA - Digiteo)

Author of R adaptation: Sebastien Bihorel (sb.pmlab@gmail.com)