lbfgs_share: Use splitfngr with lbfgs

In splitfngr: Combined Evaluation and Split Access of Functions

Description

Use lbfgs function from the lbfgs package but pass in a single function that returns both the function and gradient together in a list. Useful when the function and gradient are expensive to calculate and can be calculated faster together than separate.

Usage

lbfgs_share(fngr, vars, ...)

Arguments

fngr	A function that returns a list of two elements: the function value and the gradient value.
vars	Initial values for the parameters to be optimized over. Will be passed to lbfgs as vars argument.
...	Other arguments passed to lbfgs

Value

Result from running lbfgs on the given function

Examples

quad_share <- function(x){list(sum(x^4), 4*x^3)}
lbfgs_share(vars=c(3, -5), fngr=quad_share)

splitfngr documentation built on May 2, 2019, 8:54 a.m.