Example_01: Banana

In ROI.plugin.optimx: 'optimx' Plug-in for the 'R' Optimization Infrastructure

Description

The following example is also known as Rosenbrock's banana function (https://en.wikipedia.org/wiki/Rosenbrock_function).

minimize \ f(x) = 100 (x_2 - x_1^2)^2 + (1 - x_1)^2

Solution: c(1, 1)

Examples

library(ROI)

f <- function(x) {
    return( 100 * (x[2] - x[1]^2)^2 + (1 - x[1])^2 )
}

f.gradient <- function(x) {
    return( c( -400 * x[1] * (x[2] - x[1] * x[1]) - 2 * (1 - x[1]),
               200 * (x[2] - x[1] * x[1])) )
}

x <- OP( objective = F_objective(f, n = 2L, G = f.gradient), 
         bounds = V_bound(ld = -3, ud = 3, nobj = 2L) )

nlp <- ROI_solve(x, solver="optimx", start=c(-1.2, 1), method = "Rvmmin")
nlp
## Optimal solution found.
## The objective value is: 4.979684e-30
solution(nlp)
## [1] 1 1

ROI.plugin.optimx documentation built on Aug. 30, 2020, 3:01 a.m.