nlminb2Control: Control variables for Rnlminb2

In fPortfolio: Rmetrics - Portfolio Selection and Optimization

Control variables for Rnlminb2

Description

Collection of Control Variables

Usage

nlminb2Control(eval.max = 500, iter.max = 400, trace = 0, abs.tol = 1e-20, 
    rel.tol = 1e-10, x.tol = 1.5e-8, step.min = 2.2e-14, scale = 1,
    R = 1.0, beta = 0.01, steps.max = 10, steps.tol = 1e-6)

Arguments

eval.max	an integer value. Maximum number of evaluations of the objective function allowed. Defaults to 500.
iter.max	an integer value. Maximum number of iterations allowed. Defaults to 400.
trace	an integer value. The value of the objective function and the parameters is printed every trace'th iteration. Defaults to 0 which indicates no trace information is to be printed.
abs.tol	a numeric value. Absolute tolerance. Defaults to 1e-20.
rel.tol	a numeric value. Relative tolerance. Defaults to 1e-10.
x.tol	a numeric value. X tolerance. Defaults to 1.5e-8.
step.min	a numeric value. Minimum step size. Defaults to 2.2e-14.
scale	See PORT documentation (or leave alone).
R	a numeric value. The multiplier and devisor for the barrier and penalty function terms. Defaults to 1.0
beta	a numeric value. The value by which R is lowered in each iteration step. Defaults to 0.01.
steps.max	an integer value. The maximum number of iteration steps in which the penalty and barrier terms are lowered. Defaults to 10.
steps.tol	a numeric value. The penalty and barrier tolerance. Defaults to 1e-6.

fPortfolio documentation built on Jan. 14, 2024, 8:21 p.m.