Rtnmin: Truncated Newton function minimization
In optimx: Expanded Replacement and Extension of the 'optim' Function

Rtnmin

R Documentation

Truncated Newton function minimization

Description

An R implementation of the truncated Newton method for minimization of nonlinear functions optionally subject to bounds (box) constraints. The algorithm is based on Nash (1979)

Usage

   tn(x, fgfun, trace=0, control=list(), ...)

   tnbc(x, fgfun, lower, upper, trace=0, control=list(), ...)

Arguments

`x`	A numeric vector of starting estimates.
`fgfun`	A function that returns the value of the objective at the supplied set of parameters `par` using auxiliary data in .... The gradient is returned as attribute "gradient". The first argument of `fgfun` must be `par`.
`lower`	A vector of lower bounds on the parameters.
`upper`	A vector of upper bounds on the parameters.
`trace`	Set > 0 to cause intermediate output to allow progress to be followed.
`control`	A list of control parameters. See the R code for `tn()` and `tnbc()` for details. Most users can omit this.
`...`	Further arguments to be passed to `fn`.

Details

Function fgfun must return a numeric value in list item f and a numeric vector in list item g.

These routines can be most easily called using the optimr function with method "Rtnmin".

Note that as at 2024-10-23, the evaluation limits maxit and maxfun which appear in the code do NOT appear to be active.

Value

A list with components:

`xstar`	The best set of parameters found.
`f`	The value of the objective at the best set of parameters found.
`g`	The gradient of the objective at the best set of parameters found.
`ierror`	An integer indicating the situation on termination. `0` indicates that the method believes it has succeeded; `2` that more than `maxfun` (default 150*n, where there are n parameters); `3` if the line search appears to have failed (which may not be serious); and `-1` if there appears to be an error in the input parameters.
`nfngr`	A number giving a measure of how many conjugate gradient solutions were used during the minimization process.