grchk: Run tests, where possible, on user objective function and...

In optextras: Tools to Support Optimization Possibly with Bounds and Masks

Description

grchk checks a user-provided R function, ffn.

Usage

   grchk(xpar, ffn, ggr, trace=0, testtol=(.Machine$double.eps)^(1/3), ...) 

Arguments

xpar	parameters to the user objective and gradient functions ffn and ggr
ffn	User-supplied objective function
ggr	User-supplied gradient function
trace	set >0 to provide output from grchk to the console, 0 otherwise
testtol	tolerance for equality tests
...	optional arguments passed to the objective function.

Details

Package:	grchk
Depends:	R (>= 2.6.1)
License:	GPL Version 2.

numDeriv is used to numerically approximate the gradient of function ffn and compare this to the result of function ggr.

Value

grchk returns a single object gradOK which is true if the differences between analytic and approximated gradient are small as measured by the tolerance testtol.

This has attributes "ga" and "gn" for the analytic and numerically approximated gradients.

At the time of preparation, there are no checks for validity of the gradient code in ggr as in the function fnchk.

Author(s)

John C. Nash

Examples

# Would like examples of success and failure. What about "near misses"??
cat("Show how grchk works\n")
require(optextras)
require(numDeriv)
# require(optimx)

jones<-function(xx){
  x<-xx[1]
  y<-xx[2]
  ff<-sin(x*x/2 - y*y/4)*cos(2*x-exp(y))
  ff<- -ff
}

jonesg <- function(xx) {
  x<-xx[1]
  y<-xx[2]
  gx <-  cos(x * x/2 - y * y/4) * ((x + x)/2) * cos(2 * x - exp(y)) - 
    sin(x * x/2 - y * y/4) * (sin(2 * x - exp(y)) * 2)
  gy <- sin(x * x/2 - y * y/4) * (sin(2 * x - exp(y)) * exp(y)) - cos(x * 
              x/2 - y * y/4) * ((y + y)/4) * cos(2 * x - exp(y))
  gg <- - c(gx, gy)
}

jonesg2 <- function(xx) {
  gx <- 1
  gy <- 2
  gg <- - c(gx, gy)
}


xx <- c(1, 2)

gcans <- grchk(xx, jones, jonesg, trace=1, testtol=(.Machine$double.eps)^(1/3))
gcans

gcans2 <- grchk(xx, jones, jonesg2, trace=1, testtol=(.Machine$double.eps)^(1/3))
gcans2

optextras documentation built on Dec. 31, 2019, 3:01 a.m.