powell: powell

In powell: Powell's UObyQA algorithm

Description

Optimizes a function using Powell's UObyQA algorithm.

Usage

powell(par, fn, control = powell.control(), check.hessian = TRUE, ...)

Arguments

par	Starting values for objective function
fn	A function to be optimized. The function takes the parameters (par) as its first argument.
control	A list of control parameters
check.hessian	logical; if TRUE an eigenvalue decomposition is used to check the hessian for positive definiteness.
...	Additional arguments to be passed to fn

Details

This function seeks the least value of a function of many variables, by a trust region method that forms quadratic models by interpolation. The algorithm is described in "UOBYQA: unconstrained optimization by quadratic approximation" by M.J.D. Powell, Report DAMTP 2000/NA14, University of Cambridge.

Value

A list with components

par	The final values of the parameters.
value	The final value of the function being optimized.
counts	The number of times the function is called.
hessian	A symmetric matrix of the estimated Hessian.
eigen.hessian	If check.hessian is TRUE the eigenvalues and eigenvectors; otherwise NULL.
convergence	0 if converged, 1 otherwise.
control	The input control parameters.
message	Information about the model fit. This will be non-null only if check.hessian is TRUE and the resulting hessian is not positive definite.
call	The original call to the optimizer.

Author(s)

Sundar Dorai-Raj

References

http://plato.asu.edu/topics/problems/nlounres.html

See Also

optim

Examples

set.seed(1)
fn <- function(beta, y, x, w) {
  # binomial deviance using double log link
  mu <- exp(x %*% beta)
  logLik <-  - y * mu + (w - y) * log(1 - exp(-mu))
  -2 * sum(logLik)
}
n <- 1000
beta <- c(-1, 0.5)
w <- rpois(n, 100)
x <- rep(c("A", "B"), length = n)
X <- model.matrix(~ x, data.frame(x))
y <- rbinom(n, w, exp(-exp(X %*% beta)))

x1 <- powell(beta, fn, y = y, x = X, w = w)
x2 <- optim(beta, fn, y = y, x = X, w = w, hessian = TRUE)
x3 <- glm(1 - y/w ~ x, data = data.frame(x, y, w),
          family = binomial("cloglog"), weights = w)

# compare coefficients from 3 fits
rbind(powell = x1$par, optim = x2$par, glm = coef(x3))
# compare standard errors from 3 fits
rbind(powell = sqrt(diag(2 * solve(x1$hessian))), 
      optim = sqrt(diag(2 * solve(x2$hessian))), 
      glm = sqrt(diag(vcov(x3))))

powell documentation built on May 30, 2017, 5:09 a.m.