ucminf | R Documentation |
An algorithm for general-purpose unconstrained non-linear optimization. The algorithm is of quasi-Newton type with BFGS updating of the inverse Hessian and soft line search with a trust region type monitoring of the input to the line search algorithm. The interface of ‘ucminf’ is designed for easy interchange with ‘optim’.
ucminf(par, fn, gr = NULL, ..., control = list(), hessian = 0)
par |
Initial estimate of minimum for |
fn |
Objective function to be minimized. |
gr |
Gradient of objective function. If |
... |
Optional arguments passed to the objective and gradient functions. |
control |
A list of control parameters. See ‘Details’. |
hessian |
Integer value:
If a |
The algorithm is documented in (Nielsen, 2000) (see References below) together with a comparison to the Fortran subroutine ‘MINF’ and the Matlab function ‘fminunc’. The implementation of ‘ucminf’ in R uses the original Fortran version of the algorithm.
The interface in R is designed so that it is very easy to switch
between using ‘ucminf’ and ‘optim’. The
arguments par
, fn
, gr
, and hessian
are all the same (with a few extra options for hessian
in
‘ucminf’). The difference is that there is no method
argument in ‘ucminf’ and that some of the components in the
control
argument are different due to differences in the algorithms.
The algorithm can be given an initial estimate of the Hessian for the optimization and it is possible to get the final approximation of the Hessian based on the series of BFGS updates. This extra functionality may be useful for optimization in a series of related problems.
The functions fn
and gr
can return Inf
or NaN
if the functions cannot be evaluated at the supplied value, but the
functions must be computable at the initial value. The functions
are not allowed to return NA
. Any names given to par
will be
copied to the vectors passed to fn
and gr
. No
other attributes of par
are copied over.
The control
argument is a list that can supply any of the
following components:
trace
If trace is positive then detailed tracing information is printed for each iteration.
grtol
The algorithm stops when
||F'(x)||_\infty \leq
grtol, that is when the
largest absolute value of the gradient is less than grtol. Default value is
grtol = 1e-6
.
xtol
The algorithm stops when ||x-x_p||_2 \leq
\textrm{xtol}\cdot(\textrm{xtol} + ||x||_2)
, where x_p
and x
are the previous and current estimate
of the minimizer. Thus the algorithm stops when the last relative step length
is sufficiently small. Default value is xtol = 1e-12
.
stepmax
Initial maximal allowed step length (radius of
trust-region). The value is updated during the optimization. Default value
is stepmax = 1
.
maxeval
The maximum number of function evaluations.
A function evaluation is counted as one evaluation of the objective function
and of the gradient function. Default value is maxeval = 500
.
grad
Either ‘forward’ or ‘central’. Controls
the type of finite difference approximation to be used for the gradient if no
gradient function is given in the input argument ‘gr’. Default value
is grad = 'forward'
.
gradstep
Vector of length 2. The step length in finite
difference approximation for the gradient. Step length is
|x_i|\cdot\textrm{gradstep[1]+gradstep[2]}
. Default value is gradstep = c(1e-6, 1e-8)
.
invhessian.lt
A vector with an initial approximation to the
lower triangle of the inverse Hessian. If not given, the inverse Hessian is
initialized as the identity matrix. If H0
is the initial hessian
matrix then the lower triangle of the inverse of H0
can be found as
invhessian.lt = solve(H0)[lower.tri(H0,diag=TRUE)]
.
ucminf
returns a list of class 'ucminf'
containing the following elements:
par |
Computed minimizer. |
value |
Objective function value at computed minimizer. |
convergence |
Flag for reason of termination:
|
message |
String with reason of termination. |
hessian , invhessian |
Estimate of (inv.) Hessian at computed minimizer. The type of estimate is given by the input argument ‘hessian’. |
invhessian.lt |
The lower triangle of the final approximation to the inverse Hessian based on the series of BFGS updates during optimization. |
info |
Information about the search:
|
‘UCMINF’ algorithm design and Fortran code by Hans Bruun Nielsen.
K Hervé Dakpo took over maintenance of the package in May. 2023.
Implementation in R by Stig B. Mortensen, stigbm@gmail.com.
Modifications by Douglas Bates bates@stat.wisc.edu, Nov. 2010, to support nested optimization and correct issues with printing on Windows.
Nielsen, H. B. (2000) ‘UCMINF - An Algorithm For Unconstrained, Nonlinear Optimization’, Report IMM-REP-2000-19, Department of Mathematical Modelling, Technical University of Denmark. http://www.imm.dtu.dk/documents/ftp/tr00/tr19_00.pdf
The original Fortran source code was found at
http://www2.imm.dtu.dk/projects/hbn_software/ucminf.f
.
(That URL is no longer available but archived at
https://web.archive.org/web/20050418082240/http://www.imm.dtu.dk/~hbn/Software/ucminf.f
– Dr Nielsen passed away in 2015). The code has been slightly modified in
this package to be suitable for use with R.
The general structure of the implementation in R is based on the package ‘FortranCallsR’ by Diethelm Wuertz.
optim
, nlminb
,
nlm
.
## Rosenbrock Banana function
fR <- function(x) (1 - x[1])^2 + 100 * (x[2] - x[1]^2)^2
gR <- function(x) c(-400 * x[1] * (x[2] - x[1] * x[1]) - 2 * (1 - x[1]),
200 * (x[2] - x[1] * x[1]))
# Find minimum and show trace
ucminf(par = c(2,.5), fn = fR, gr = gR, control = list(trace = 1))
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