BrentMethod: Brent's method for optimization

In drkowal/rSTAR: MCMC and EM algorithms for Simultaneous Transformation and Rounding (STAR) Models

Brent's method for optimization

Description

Implementation for Brent's algorithm for minimizing a univariate function over an interval. The code is based on a function in the stsm package.

Usage

BrentMethod(a = 0, b, fcn, tol = .Machine$double.eps^0.25)

Arguments

a	lower limit for search
b	upper limit for search
fcn	function to minimize
tol	tolerance level for convergence of the optimization procedure

Value

a list of containing the following elements:

• fx the minimum value of the input function

• x the argument that minimizes the function

• iter number of iterations to converge

• vx a vector that stores the arguments until convergence

drkowal/rSTAR documentation built on July 5, 2023, 2:18 p.m.