Nothing
R/optimr.R
In optimx: Expanded Replacement and Extension of the 'optim' Function
optimr <- function(par, fn, gr=NULL, hess=NULL, lower=-Inf, upper=Inf,
method=NULL, hessian=FALSE, control=list(), ...) {
## 180706: Problem with maxit. Likely issue is that opm gets ctrldefault and
## updates with actual control list. But here in nlm, maxit defaults to 100.
npar <- length(par)
ctrl <- ctrldefault(npar)
ncontrol <- names(control)
nctrl <- names(ctrl)
for (onename in ncontrol) {
if (onename %in% nctrl) {
if (! is.null(control[onename]) || ! is.na(control[onename]) )
ctrl[onename]<-control[onename]
}
} ## 180706: Should we try to streamline?
if (is.null(method)) method <- ctrl$defmethod
outmethod <- checksolver(method, ctrl$allmeth, ctrl$allpkg) # there will only be one!
if (is.null(outmethod)) {
if (ctrl$trace > 0) cat("Solver ",method," missing\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 8888 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- paste("Missing method ",method)
ans$hessian <- NULL
return(ans) # can't proceed without solver
}
# Check if bounded
bdmsk <- bmchk(par, lower=lower, upper=upper, shift2bound=TRUE)
if (bdmsk$parchanged) warning("Parameter(s) changed to nearest bounds\n")
ctrl$have.bounds <- bdmsk$bounds # and set a control value
orig.method <- method
orig.gr <- gr
orig.fn <- fn
if (is.null(hessian) ){
savehess <- FALSE
} else { savehess <- hessian } # logical -- whether to save hessian
# if (is.null(ctrl$trace)) ctrl$trace <- ctrl$trace
if (is.null(ctrl$parscale)) {
pscale <- rep(1,npar)
if(ctrl$trace > 0) { cat("Unit parameter scaling\n") }
} else {
pscale <- ctrl$parscale
if(ctrl$trace > 0) {
cat("Parameter scaling:")
print(pscale)
}
}
spar <- par/pscale # scaled parameters
slower <- -Inf
supper <- Inf # to ensure defined
if (ctrl$have.bounds) {
slower <- lower/pscale
supper <- upper/pscale
}
fnscale <- 1 # default to ensure defined
if (is.null(ctrl$fnscale)) {
if (! is.null(ctrl$maximize) && ctrl$maximize ) {fnscale <- -1}
else if (! is.null(ctrl$maximize)) {
if ( (ctrl$fnscale < 0) && ctrl$maximize) {fnscale <- -1} # this is OK
else stop("ctrl$fnscale and ctrl$maximize conflict")
} # end ifelse
} # end else
origmaximize <- ctrl$maximize # save the original in case we need it
ctrl$maximize <- FALSE # and ensure we minimize
ctrl$fnscale <- fnscale # to ensure set again
# 160615 -- decided to postpone adding nloptr
efn <- function(spar, ...) {
# rely on pscale being defined in this enclosing environment
par <- spar*pscale
val <- fn(par, ...) * fnscale
}
appgr<-FALSE # so far assuming analytic gradient
# DO NOT PROVIDE A DEFAULT -- LET METHOD DO THIS
# if (is.null(gr)) gr <- ctrl$defgrapprox
# if (is.null(gr)) cat("gr is NULL\n")
if (is.character(gr)) {
appgr <- TRUE # to inform us that we are using approximation
egr <- function(spar, ...){
if (ctrl$trace > 1) {
cat("fnscale =",fnscale," pscale=")
print(pscale)
cat("gr:")
print(gr)
cat("par:")
print(par)
}
par <- spar*pscale
result <- do.call(gr, list(par, userfn=fn, ...)) * fnscale
}
} else {
if (is.null(gr)) {egr <- NULL}
else {
egr <- function(spar, ...) {
par <- spar*pscale
result <- gr(par, ...) * pscale * fnscale
}
}
} # end egr definition
## cat("Now check if we need scaled hessian\n")
## cat("is.null(hess) = ",is.null(hess),"\n")
## if (! is.null(hess)) {
## cat("Hessian at parameters:\n")
## print(hess(par,...))
## }
if (is.null(hess)) { ehess <- NULL}
else { ehess <- function(spar, ...) {
par <- spar*pscale
result <- hess(par, ...) * pscale * pscale * fnscale
result
}
}
## cat("Is ehess present? is.null(ehess) =",is.null(ehess),"\n")
## if (! is.null(ehess)) {
## cat("eHessian at scaled parameters:\n")
## print(ehess(spar,...))
## }
if (appgr && (ctrl$trace>0)) cat("Using numerical approximation '",gr,"' to gradient in optimru()\n")
nlmfn <- function(spar, ...){
f <- efn(spar, ...)
if (is.null(egr)) {g <- NULL} else {g <- egr(spar, ...)}
attr(f,"gradient") <- g
if (is.null(ehess)) { h <- NULL } else {h <- ehess(spar, ...)}
attr(f,"hessian") <- h
f
}
## cat("Check nlmfn at spar\n")
## print(nlmfn(spar, ...))
## Masks
maskmeth <- ctrl$maskmeth
msk <- bdmsk$bdmsk # Only need the masks bit from here on
if (any(msk == 0) ) {
if ( !(method %in% maskmeth) ) {
stopmsg <- paste("Method ",method," cannot handle masked (fixed) parameters")
stop(stopmsg)
}
if (ctrl$trace > 0) cat("Masks present\n")
}
# replacement for optim to minimize using a single method
# time is in opm(), but not here
# The structure has par, value, counts, convergence, message, hessian
# Run a single method
# expand bounds
if (length(lower) == 1 && is.finite(lower) ) lower<-rep(lower,npar)
if (length(upper) == 1 && is.finite(upper) ) upper<-rep(upper,npar)
mcontrol <- list() # define the control list
# Methods from optim()
if (method == "Nelder-Mead" ||
method == "BFGS" ||
method == "L-BFGS-B" ||
method == "CG" ||
method == "SANN") {
# Take care of methods from optim(): Nelder-Mead, BFGS, L-BFGS-B, CG
mcontrol$maxit <- ctrl$maxit
if (! is.null(ctrl$maxit)) {mcontrol$maxit <- ctrl$maxit}
mcontrol$trace <- ctrl$trace
mcontrol$parscale <- NULL # using user fn
mcontrol$fnscale <- NULL
mcontrol$type <- ctrl$type # Use Polak Ribiere default (2)
# Note: hessian always FALSE in these calls. But savehess may recover it.
# cat("Before optim() call - ctrl$have.bounds =",ctrl$have.bounds,"\n")
if (ctrl$have.bounds) {
if (method != "L-BFGS-B") {
errmsg <- "optim() can only handle bounds with L-BFGS-B\n"
if (ctrl$trace > 0) cat(errmsg,"\n")
ans <- list()
class(ans)[1] <- "try-error"
warning("optimr: optim() with bounds ONLY uses L-BFGS-B")
} else {
ans <- try(optim(par=par, fn=efn, gr=egr,
lower=lower, upper=upper, method="L-BFGS-B", hessian=FALSE,
control=mcontrol, ...))
}
} else {
ans <- try(optim(par=par, fn=efn, gr=egr,
method=method, hessian=FALSE, control=mcontrol, ...))
}
if (class(ans)[1] == "try-error") { # bad result -- What to do?
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
errmsg <- "optim method failure\n"
if (method != "L-BFGS-B")
errmsg <- paste("optim() with bounds ONLY uses L-BFGS-B: ", errmsg)
if (ctrl$trace>0) cat(errmsg)
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- errmsg
} # otherwise ans is OK and we return it
## return(ans) # to ensure we return
} # end if using optim() methods
## --------------------------------------------
else if (method == "nlminb") {
# Here we use portLib routine nlminb rather than optim as our minimizer
mcontrol$iter.max<-ctrl$maxit # different name for iteration limit in this routine
mcontrol$maxit<-NULL # and we null it out
mcontrol$abs.tol <- 0 # To fix issues when minimum is less than 0. 20100711
mcontrol$eval.max <- ctrl$maxfeval
if ( is.null(ctrl$trace) || is.na(ctrl$trace) || ctrl$trace == 0) {
mcontrol$trace = 0
} else {
mcontrol$trace = 1 # this is EVERY iteration. nlminb trace is freq of reporting.
}
ans <- try(nlminb(start=spar, objective=efn, gradient=egr, hessian=ehess, lower=slower,
upper=supper, control=mcontrol, ...))
if (class(ans)[1] != "try-error") {
# Translate output to common format and names
ans$value<-ans$objective
ans$par <- ans$par*pscale
ans$objective<-NULL
ans$counts[1] <- ans$evaluations[1]
ans$counts[2] <- ans$evaluations[2]
ans$evaluations<-NULL # cleanup
ans$iterations<-NULL
ans$hessian <- NULL
} else { # bad result -- What to do?
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
if (ctrl$trace>0) cat("nlminb failure\n")
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- "nlminb failed" # 180318 change from NULL
ans$hessian <- NULL
}
## return(ans)
} ## end if using nlminb
## --------------------------------------------
else if (method == "nlm") { # Use stats package nlm routine
# if (is.null(gr)) { stop("optimr -- nlm -- we do not allow gr = NULL") }
if (! is.null(ctrl$maxit) ) {iterlim <- ctrl$maxit }
else { iterlim <- 100 }
print.level <- 0
errmsg <- NULL
if (ctrl$have.bounds) {
if(ctrl$trace > 0) cat("nlm cannot handle bounds\n")
errmsg <- "nlm cannot handle bounds\n"
## stop("nlm tried with bounds")
ans <- list()
class(ans)[1] <- "try-error"
} else {
if (! is.null(ctrl$trace) && (ctrl$trace > 0) ) {print.level <- 2 }
ans <- try(nlm(f=nlmfn, p=spar, iterlim=iterlim, print.level=print.level, ...))
}
if (class(ans)[1] != "try-error") {
if (ans$code == 1 || ans$code == 2 || ans$code == 3) ans$convergence <- 0
if (ans$code == 4) ans$convergence <- 1
if (ans$code == 5) ans$convergence <- 5
# Translate output to common format
ans$value <- ans$minimum
ans$minimum <- NULL
ans$par <- ans$estimate*pscale
ans$estimate <- NULL
ans$counts[2] <- ans$iterations
ans$counts[1] <- NA
ans$iterations <- NULL
ans$hessian <- NULL
ans$gradient <- NULL # We lose information here
ans$message <- paste("nlm: Convergence indicator (code) = ",ans$code)
ans$code <- NULL
} else {
if (ctrl$trace > 0) cat("nlm failed for this problem\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- "nlm failed" # 180318 change from NULL
ans$hessian <- NULL
}
print.level <- NULL # clean up
## return(ans)
} # end if using nlm
## --------------------------------------------
else if (method == "Rcgmin") { # Use Rcgmin routine (ignoring masks)
mcontrol$trace <- ctrl$trace
mcontrol$maxit <- ctrl$maxit # 151217 JN
if (! is.null(egr)) {
if (ctrl$have.bounds) { # 151220 -- this was not defined
# 170919 -- explicit reference to package
ans <- try(Rcgminb(par=spar, fn=efn, gr=egr, lower=slower,
upper=supper, bdmsk=msk, control=mcontrol, ...))
} else {
ans <- try(Rcgminu(par=spar, fn=efn, gr=egr, control=mcontrol, ...))
}
}
if (!is.null(egr) && (class(ans)[1] != "try-error")) {
ans$par <- ans$par*pscale
ans$message <- NA
ans$hessian <- NULL
ans$bdmsk <- NULL # clear this
} else {
if (ctrl$trace>0) {
cat("Rcgmin failed for current problem \n")
if(is.null(egr)) cat("Note: Rcgmin needs gradient function specified\n")
}
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
if(is.null(egr)) {
ans$message <- "Must specify gradient function for Rcgmin"
ans$convergence <- 9998 # for no gradient where needed
}
ans$hessian <- NULL
}
## return(ans)
} ## end if using Rcgmin
## --------------------------------------------
else if (method == "Rcgmin2") { # Use Rcgmin2 routine (ignoring masks)
mcontrol <- ctrl # 181203 -- try this as a starter
mcontrol <- NULL
mcontrol$trace <- ctrl$trace
# mcontrol$maxit <- ctrl$maxit # 151217 JN
if (! is.null(egr)) {
if (ctrl$have.bounds) { # 151220 -- this was not defined
# 170919 -- explicit reference to package
ans <- try(Rcgmin2::Rcgminb(par=spar, fn=efn, gr=egr, lower=slower,
upper=supper, bdmsk=msk, control=mcontrol, ...))
} else {
ans <- try(Rcgmin2::Rcgminu(par=spar, fn=efn, gr=egr, control=mcontrol, ...))
}
}
if (!is.null(egr) && (class(ans)[1] != "try-error")) {
ans$par <- ans$par*pscale
ans$message <- NA
ans$hessian <- NULL
ans$bdmsk <- NULL # clear this
} else {
if (ctrl$trace>0) {
cat("Rcgmin2 failed for current problem \n")
if(is.null(egr)) cat("Note: Rcgmin2 needs gradient function specified\n")
}
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
if(is.null(egr)) {
ans$message <- "Must specify gradient function for Rcgmin2"
ans$convergence <- 9998 # for no gradient where needed
}
ans$hessian <- NULL
}
## return(ans)
} ## end if using Rcgmin2
## --------------------------------------------
else if (method == "Rcgdescent") { # Use Rcgdescent -- unconstrained
mcontrol <- NULL # only use maxit het.
if (! is.null(ctrl$maxit)) mcontrol$maxit <- ctrl$maxit
if (! is.null(egr)) {
if (ctrl$have.bounds) {
stop("Rcgdescent does not handle bounds")
} else {
ans <- try(Rcgdescent::Rcgdescent(par=spar, fn=efn, gr=egr, ...))
}
}
if (!is.null(egr) && (class(ans)[1] != "try-error")) {
ans$par <- ans$par*pscale
ans$message <- NA
ans$hessian <- NULL
ans$bdmsk <- NULL # clear this
} else {
if (ctrl$trace>0) {
cat("Rcgdescent failed for current problem \n")
if(is.null(egr)) cat("Note: Rcgdescent needs gradient function specified\n")
}
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
if(is.null(egr)) {
ans$message <- "Must specify gradient function for Rcgdescent"
ans$convergence <- 9998 # for no gradient where needed
}
ans$hessian <- NULL
}
## return(ans)
} ## end if using Rcgdescent
## --------------------------------------------
else if (method == "Rvmmin") { # Use Rvmmin routine (ignoring masks??)
mcontrol$maxit <- ctrl$maxit
mcontrol$maxfeval <- ctrl$maxfeval
mcontrol$trace <- ctrl$trace # 140902 Note no check on validity of values
if (! is.null(egr)) {
ans <- try(Rvmmin(par=spar, fn=efn, gr=egr, lower=slower,
upper=supper, bdmsk=msk, control=mcontrol, ...))
}
if (ctrl$trace > 2) {
cat("Rvmmin ans:")
print(ans)
}
if (! is.null(egr) && (class(ans)[1] != "try-error")) {
ans$par <- ans$par*pscale
ans$bdmsk <- NULL
} else {
if (ctrl$trace>0) {
cat("Rvmmin failed for current problem \n")
if(is.null(egr)) cat("Note: Rvmmin needs gradient function specified\n")
}
ans<-list() # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
if(is.null(egr)) {
ans$message <- "Must specify gradient function for Rvmmin"
ans$convergence <- 9998 # for no gradient where needed
}
ans$hessian <- NULL
}
## return(ans)
} ## end if using Rvmmin
## --------------------------------------------
else if (method == "Rvmminq") { # Use Rvmminq routine (ignoring masks??)
mcontrol <- ctrl
# mcontrol$maxit <- ctrl$maxit
# mcontrol$maxfeval <- ctrl$maxfeval
# mcontrol$trace <- ctrl$trace # 140902 Note no check on validity of values
if (! is.null(egr)) {
ans <- try(Rvmminq(par=spar, fn=efn, gr=egr, lower=slower,
upper=supper, bdmsk=msk, control=mcontrol, ...))
}
if (ctrl$trace > 2) {
cat("Rvmminq ans:")
print(ans)
}
if (! is.null(egr) && (class(ans)[1] != "try-error")) {
ans$par <- ans$par*pscale
ans$bdmsk <- NULL
} else {
if (ctrl$trace>0) {
cat("Rvmminq failed for current problem \n")
if(is.null(egr)) cat("Note: Rvmminq needs gradient function specified\n")
}
ans<-list() # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
if(is.null(egr)) {
ans$message <- "Must specify gradient function for Rvmminq"
ans$convergence <- 9998 # for no gradient where needed
}
ans$hessian <- NULL
}
## return(ans)
} ## end if using Rvmminq
## --------------------------------------------
else if (method == "snewton") { # Use snewton routine (no bounds or masks??)
mcontrol$maxit <- ctrl$maxit
mcontrol$maxfeval <- ctrl$maxfeval # changed from maxfevals 180321
mcontrol$trace <- ctrl$trace # 140902 Note no check on validity of values
ans<-list(par=NA, value=NA, counts=NA, convergence=-1,
message=NA, hessian=NULL) # ans not yet defined, so set as list
if ( (! is.null(egr)) && (! is.null(ehess)) ) {
if (ctrl$have.bounds) { # 170919 make package explicit
stop("snewton does not handle bounds") #
}
tans <- try( snewton(par=spar, fn=efn, gr=egr, hess=ehess, control=mcontrol,...))
if (ctrl$trace>1) {
cat("snewton returns tans:")
print(tans)
}
if (class(tans)[1] == "try-error") {
ans$message <- "snewton failed"
ans$convergence <- 9999
if (ctrl$trace>0) {
cat(ans$message,"\n")
}
}
} else {
if(is.null(egr)) {
ans$message <- "Must specify gradient function for snewton"
ans$convergence <- 9998 # for no gradient where needed
warning("Note: snewton needs gradient function specified")
}
if(is.null(ehess)) {
ans$message <- "Must specify Hessian function (hess) for snewton"
ans$convergence <- 9997 # for no gradient where needed
warning("Note: snewton needs Hessian function (hess) specified")
}
}
if (ans$convergence > 9996){
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
# Note: in optim() no provision for hessian count
ans$hessian <- NULL
if (ctrl$trace>1) {
cat("snewton falure ans:")
print(ans)
}
} else { # have an answer
ans$par <- tans$par*pscale
ans$value <- tans$value
attr(ans, "gradient") <- tans$grad
if(hessian) ans$hessian <- tans$Hess
ans$counts[1] <- tans$counts$nfn
ans$counts[2] <- tans$counts$ngr
ans$message <- tans$message
ans$convergence <- tans$convcode
tans <- NULL # probably unnecessary, but for safety
if (ctrl$trace>1) {
cat("rejigged ans:")
print(ans)
}
} # end have answer
## return(ans)
} ## end if using snewton
## --------------------------------------------
else if (method == "snewtonm") { # Use snewtonm routine (no bounds or masks??)
mcontrol$maxit <- ctrl$maxit
mcontrol$maxfeval <- ctrl$maxfeval # changed from maxfevals 180321
mcontrol$trace <- ctrl$trace # 140902 Note no check on validity of values
ans<-list(par=NA, value=NA, counts=NA, convergence=-1,
message=NA, hessian=NULL) # ans not yet defined, so set as list
if ( (! is.null(egr)) && (! is.null(ehess)) ) {
if (ctrl$have.bounds) { # 170919 make package explicit
stop("snewtonm does not handle bounds") # ?? error -- doesn't handle bounds
}
tans <- try( snewtonm(par=spar, fn=efn, gr=egr, hess=ehess, control=mcontrol,...))
if (ctrl$trace>0) {
cat("snewtonm returns tans:")
print(tans)
}
if (class(tans)[1] == "try-error") {
ans$message <- "snewtonm failed"
ans$convergence <- 9999
if (ctrl$trace>0) {
cat(ans$message,"\n")
}
}
} else {
if(is.null(egr)) {
ans$message <- "Must specify gradient function for snewtonm"
ans$convergence <- 9998 # for no gradient where needed
warning("Note: snewtonm needs gradient function specified")
}
if(is.null(ehess)) {
ans$message <- "Must specify Hessian function (hess) for snewtonm"
ans$convergence <- 9997 # for no Hessian where needed
warning("Note: snewtonm needs Hessian function specified")
}
} # end of fails
if (ans$convergence > 9996){ # Bad solution
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
# Note: in optim() no provision for hessian count
ans$hessian <- NULL
if (ctrl$trace>1) {
cat("snewton falure ans:")
print(ans)
}
} else { # have an answer
# cat("copy answer with tans$par:\n")
# print(tans$par)
ans$par <- tans$par*pscale
ans$value <- tans$value
attr(ans, "gradient") <- tans$grad
if(hessian) ans$hessian <- tans$Hess
ans$counts[1] <- tans$counts$nfn
ans$counts[2] <- tans$counts$ngr
ans$message <- tans$message
ans$convergence <- tans$convcode
tans <- NULL # probably unnecessary, but for safety
if (ctrl$trace>1) {
cat("rejigged ans:")
print(ans)
}
} # end have answer
ans
} ## end if using snewtonm
## --------------------------------------------
else if (method == "hjn") {# Use JN Hooke and Jeeves
if (ctrl$trace > 0) {
# this function is in optimr, so does not need explicit package
cat("hjn:ctrl$have.bounds =",ctrl$have.bounds,"\n")
cat("optimr - hjn - msk:")
print(msk)
}
# 180327 Cannot maximize with hjn itself.
mcontrol <- ctrl # copy
mcontrol$maximize <- NULL # and null out maximize
ans <- try(hjn(spar, efn, lower=slower, upper=supper, bdmsk=msk,
control=mcontrol, ...))
if (class(ans)[1] != "try-error") {
## Need to check these carefully??
ans$par <- ans$par*pscale
ans$value <- ans$value*fnscale
ans$message <- NA # Should add a msg ??
} else {
if (ctrl$trace > 0) cat("hjn failed for current problem \n")
ans<-list() # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par <- rep(NA,npar)
ans$convergence <- 9999 # failed in run
ans$counts[1] <- NA
ans$counts[1] <- NA
ans$hessian <- NULL
ans$message <- NA
}
## return(ans)
} ## end if using hjn
## --------------------------------------------
else if (method == "spg") { # Use BB package routine spg as minimizer
mcontrol$maximize <- NULL # Use external maximization approach
mcontrol$maxit <- ctrl$maxit
mcontrol$maxfeval <- ctrl$maxfeval
if (ctrl$trace > 0) {
mcontrol$trace <- TRUE
if (ctrl$trace > 1) mcontrol$triter <- 1 # default is 10
} else { mcontrol$trace <- FALSE }
ans <- try(BB::spg(par=spar, fn=efn, gr=egr, lower=slower, upper=supper,
control=mcontrol, ...))
if (class(ans)[1] != "try-error") {
ans$par <- ans$par*pscale
ans$counts[1] <- ans$feval
ans$feval<-NULL # to erase conflicting name
ans$counts[2] <- ans$iter
ans$fn.reduction <- NULL # so it does not interfere
ans$iter<-NULL
ans$gradient<-NULL # loss of information
} else { # spg failed
if (ctrl$trace > 0) cat("spg failed for this problem\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
}
## return(ans)
} # end if using spg
## --------------------------------------------
else if (method == "ucminf") {
## Use ucminf routine
if (is.null(ctrl$maxit)) { mcontrol$maxeval <- 500 } # ensure there is a default value
else { mcontrol$maxeval <- ctrl$maxit}
mcontrol$maxit <- NULL # 150427 ensure nulled for ucminf
errmsg <- NULL
if (ctrl$have.bounds) {
if (ctrl$trace > 0) cat("ucminf cannot handle bounds\n")
errmsg <- "ucminf cannot handle bounds\n"
stop(errmsg)
ans <- list()
class(ans)[1] <- "try-error"
} else {
uhessian <- 0 # Ensure hessian NOT computed
ans <- try(ucminf::ucminf(par=spar, fn=efn, gr=egr,
hessian = uhessian, control=mcontrol, ...))
}
if (class(ans)[1] != "try-error") {
# From ucminf documentation: convergence = 1 Stopped by small gradient (grtol).
# 2 Stopped by small step (xtol).
# 3 Stopped by function evaluation limit (maxeval).
# 4 Stopped by zero step from line search
# -2 Computation did not start: length(par) = 0.
# -4 Computation did not start: stepmax is too small.
# -5 Computation did not start: grtol or xtol <= 0.
# -6 Computation did not start: maxeval <= 0.
# -7 Computation did not start: given Hessian not pos. definite.
# message: String with reason of termination.
if (ans$convergence == 1
|| ans$convergence == 2
|| ans$convergence == 4) {
ans$convergence <- 0
}
ans$par <- ans$par*pscale
ans$counts[1] <- ans$info[4]
ans$counts[2] <- ans$info[4] # calls fn and gr together
ans$info <- NULL # to erase conflicting name
ans$nitns <- NULL
ans$hessian <- NULL
ans$invhessian.lt <- NULL
if (ctrl$trace > 0) cat("ucminf message:",ans$message,"\n")
} else { # ucminf failed
if (ctrl$trace > 0) cat("ucminf failed for this problem\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- errmsg
ans$hessian <- NULL
}
uhessian <- NULL
## return(ans)
} ## end if using ucminf
## --------------------------------------------
else if (method == "Rtnmin") { # Use Rtnmin routines
if (ctrl$trace>0) {mcontrol$trace <- TRUE } else {mcontrol$trace <- FALSE}
ans<-list() # ans not yet defined, so set as list
errmsg <- NA
class(ans)[1] <- "undefined" # initial setting
if (is.null(egr)) { ## fixed msg below (referred to lbfgs) 170214
if (ctrl$trace > 0) cat("Rtnmin MUST have gradient provided\n")
errmsg <- "Rtnmin MUST have gradient provided"
class(ans)[1] <- "try-error"
} else {
if (ctrl$have.bounds) {
ans <- try(tnbc(x=spar, fgfun=nlmfn, lower=slower,
upper=supper, trace=mcontrol$trace, ...))
} else {
ans <- try(tn(x=spar, fgfun=nlmfn, trace=mcontrol$trace, ...))
}
}
if (class(ans)[1] == "try-error") {
if (ctrl$trace>0) cat("Rtnmin failed for current problem \n")
ans$convergence <- 9999 # failed in run
ans$message <- "Rtnmin failed fo current problem"
if (is.null(egr)) {
ans$convergence <- 9998
ans$message <- errmsg
ans$value <- 1234567E20
}
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA
ans$hessian <- NULL
} else {
ans$par <- ans$xstar*pscale
ans$xstar <- NULL
ans$value <- as.numeric(ans$f)
ans$f <- NULL
ans$g <- NULL
ans$convergence <- ans$ierror
ans$ierror <- NULL
ans$counts[1] <- ans$nfngr
ans$counts[2] <- ans$nfngr
ans$nfngr <- NULL
ans$hessian <- NULL
ans$message <- NA
}
## return(ans)
} ## end if using Rtnmin
## --------------------------------------------
else if (method == "bobyqa") {# Use bobyqa routine from minqa package
mcontrol$maxfun <- ctrl$maxfeval
mcontrol$iprint <- ctrl$trace
myrhobeg <- min(supper - slower)/3 # JN 160107 (3), 160125 (5)
if ((myrhobeg < 1e-8) || ! is.finite(myrhobeg) ) myrhobeg <- 0.5
mcontrol$rhobeg <- myrhobeg # to avoid 0 when parameters 0
ans <- try(minqa::bobyqa(par=spar, fn=efn, lower=slower,
upper=supper, control=mcontrol,...))
if (class(ans)[1] != "try-error") {
ans$convergence <- 0
# if (ans$feval > mcontrol$maxfun) {
# ans$convergence <- 1 # too many evaluations
# }
ans$convergence <- ans$ierr
ans$ierr <- NULL
ans$message <- ans$msg
ans$msg <- NULL
ans$counts[1] <- ans$feval
ans$counts[2] <- NA
ans$feval <- NULL
ans$value<-ans$fval
ans$par <- ans$par*pscale
ans$fval <- NULL # not used
ans$hessian <- NULL
} else {
if (ctrl$trace > 0) cat("bobyqa failed for current problem \n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
}
ans <- unclass(ans) # because minqa does strange things!
## return(ans)
} ## end if using bobyqa
## --------------------------------------------
else if (method == "uobyqa") {# Use uobyqa routine from minqa package
mcontrol$maxfun <- ctrl$maxfeval
mcontrol$iprint <- ctrl$trace
myrhobeg <- min(abs(spar)) # JN 160107 (3), 160125 (5)
if ((myrhobeg < 1e-8) || ! is.finite(myrhobeg) ) myrhobeg <- 0.5
mcontrol$rhobeg <- myrhobeg # to avoid 0 when parameters 0
if (ctrl$have.bounds) {
warning("Cannot use uobyqa with bounds")
if (ctrl$trace > 0) cat("Cannot use uobyqa with bounds\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
## return(ans)
}
ans <- try(minqa::uobyqa(par=spar, fn=efn, control=mcontrol,...))
if (class(ans)[1] != "try-error") {
ans$convergence <- 0
# if (ans$feval > mcontrol$maxfun) {
# ans$convergence <- 1 # too many evaluations
# }
ans$convergence <- ans$ierr
ans$ierr <- NULL
ans$message <- ans$msg
ans$msg <- NULL
ans$counts[1] <- ans$feval
ans$counts[2] <- NA
ans$feval <- NULL
ans$value<-ans$fval
ans$par <- ans$par*pscale
ans$fval <- NULL # not used
ans$hessian <- NULL
} else {
if (ctrl$trace > 0) cat("uobyqa failed for current problem \n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
}
ans <- unclass(ans) # because minqa does strange things!
## return(ans)
} ## end if using uobyqa
## --------------------------------------------
else if (method == "newuoa") {# Use newuoa routine from minqa package
if (ctrl$trace > 1) cat("Trying newuoa\n")
mcontrol$maxfun <- ctrl$maxfeval
mcontrol$iprint <- ctrl$trace
myrhobeg <- min(abs(spar)) # JN 160107 (3), 160125 (5)
if ((myrhobeg < 1e-8) || ! is.finite(myrhobeg) ) myrhobeg <- 0.5
mcontrol$rhobeg <- myrhobeg # to avoid 0 when parameters 0
if (ctrl$have.bounds) {
warning("Cannot use newuoa with bounds")
if (ctrl$trace > 0) cat("Cannot use newuoa with bounds\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
## return(ans)
}
ans <- try(minqa::newuoa(par=spar, fn=efn, control=mcontrol,...))
if (class(ans)[1] != "try-error") {
ans$convergence <- 0
# if (ans$feval > mcontrol$maxfun) {
# ans$convergence <- 1 # too many evaluations
# }
ans$convergence <- ans$ierr
ans$ierr <- NULL
ans$message <- ans$msg
ans$msg <- NULL
ans$counts[1] <- ans$feval
ans$feval <- NULL
ans$counts[2] <- NA
ans$value<-ans$fval
ans$par <- ans$par*pscale
ans$fval <- NULL # not used
ans$hessian <- NULL
} else {
if (ctrl$trace > 0) cat("bobyqa failed for current problem \n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
}
ans <- unclass(ans) # because minqa does strange things!
## return(ans)
} ## end if using newuoa
## --------------------------------------------
else if (method == "nmkb") {# Use nmkb routine from dfoptim package
if (any(par == lower) || any(par==upper)) {
if (ctrl$trace>0) cat("nmkb cannot start if on any bound \n")
warning("nmkb() cannot be started if any parameter on a bound")
ans <- list() # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par <- rep(NA,npar)
ans$convergence <- 9999 # failed in run - ?? consider special code for nmkb on bounds
ans$fevals <- NA
ans$gevals <- NA
ans$nitns <- NA
ans$hessian <- NULL
} else { # ok to proceed with nmkb()
if (! is.null(ctrl$maxit)) {
mcontrol$maxfeval <- ctrl$maxit
} else {
mcontrol$maxfeval <- 5000*round(sqrt(npar+1)) # ?? default at 100215, but should it be changed?
}
if (ctrl$trace > 0) { mcontrol$trace <- TRUE } # logical needed, not integer
else { mcontrol$trace<-FALSE }
if (ctrl$have.bounds) {
ans <- try(dfoptim::nmkb(par=spar, fn=efn, lower = slower,
upper = supper, control=mcontrol, ...))
} else {# 170919 explicit package in call
ans <- try(dfoptim::nmk(par=spar, fn=efn, control=mcontrol, ...))
}
if (ctrl$trace > 1) {
cat("Outputting ans for nmkb:\n")
print(ans)
}
if (class(ans)[1] != "try-error") {
ans$value <- as.numeric(ans$value)
ans$par <- ans$par*pscale
ans$counts[1] <- ans$feval
ans$feval <- NULL
ans$counts[2] <- NA
ans$nitns <- NA # not used
# What about 'restarts' and 'message'??
warning(ans$message," Restarts for stagnation =",ans$restarts)
ans$restarts <- NULL
ans$hessian <- NULL
} else {
if (ctrl$trace>0) cat("nmkb failed for current problem \n")
ans <- list(fevals=NA) # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par <- rep(NA,npar)
ans$counts[1] <- NA
ans$counts[2] <- NA
ans$convergence <- 9999 # failed in run
ans$message<-"Failed"
ans$hessian <- NULL
}
} # end of check for parameter on bound
## return(ans)
} ## end if using nmkb
## --------------------------------------------
else if (method == "hjkb") {# Use hjkb routine from dfoptim package
if (ctrl$trace > 0) {
mcontrol$info <- TRUE # logical needed, not integer
} else { mcontrol$info <- FALSE }
mcontrol$maxfeval <- ctrl$maxfeval
if (ctrl$have.bounds) {
ans <- try(dfoptim::hjkb(par=spar, fn=efn, lower = slower,
upper = supper, control=mcontrol, ...))
} else {
ans <- try(dfoptim::hjk(par=spar, fn=efn, control=mcontrol, ...))
}
if (class(ans)[1] != "try-error") {
ans$value <- as.numeric(ans$value)
ans$par <- ans$par*pscale
ans$counts[1] <- ans$feval
ans$feval <- NULL
ans$counts[2] <- NA
ans$nitns <- NULL # not used
ans$restarts <- NULL
ans$hessian <- NULL
ans$nitns <- NULL # loss of information
} else {
if (ctrl$trace>0) cat("hjkb failed for current problem \n")
ans <- list(value=ctrl$badval, par=rep(NA,npar), message="Failed",
convergence=9999)
ans$counts[1]<- NA
ans$counts[2]<- NA
ans$hessian <- NULL
}
## return(ans)
} ## end if using hjkb
## --------------------------------------------
else if (method == "lbfgsb3") {# Use 2011 L-BFGS-B wrapper. UPDATED for lbfgsb3c 190319
if (ctrl$trace > 1) cat("lbfgsb3\n")
mcontrol$trace <- ctrl$trace
mcontrol$maxit <- ctrl$maxit
if (ctrl$trace > 2) cat("lbfgsb3: maxit=",mcontrol$maxit,"\n")
# 170924 no longer needed
## if (ctrl$trace < 1) {mcontrol$iprint <- -1} else {mcontrol$iprint <- ctrl$trace}
if (ctrl$trace > 2) cat("lbfgsb3:control$have.bounds =",ctrl$have.bounds,"\n")
if (ctrl$have.bounds) { ## Note call uses prm not par
slower <- lower/pscale
supper <- upper/pscale
ans <- try(lbfgsb3c::lbfgsb3(par=spar, fn=efn, gr=egr, lower = slower,
upper = supper, control=mcontrol, ...)) # explicit pkg in call 170919
} else {
ans <- try(lbfgsb3c::lbfgsb3(par=spar, fn=efn, gr=egr, control=mcontrol, ...))
}
if (class(ans)[1] != "try-error") {
## Need to check these carefully??
# ans$convergence <- 0
ans$par <- ans$par*pscale
# ans$prm <- NULL
# ans$value<-as.numeric(ans$f)
# ans$f <- NULL
# ans$g <- NULL ## perhaps keep -- but how??
# ans$hessian <- NULL
ans$message <- NA
ans$niter <- NULL # loss of information
} else {
if (ctrl$trace>0) cat("lbfgsb3 failed for current problem \n")
ans<-list(fevals=NA) # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$convergence<-9999 # failed in run
ans$counts[1] <- NA
ans$counts[2] <- NA
ans$hessian <- NULL
ans$message <- NA
}
## return(ans)
} ## end if using lbfgsb3
## --------------------------------------------
else if (method == "lbfgsb3c") {# Use 2011 L-BFGS-B wrapper
if (ctrl$trace > 1) cat("lbfgsb3c\n")
mcontrol$maxit <- ctrl$maxit
if (ctrl$trace > 2) cat("lbfgsb3c: maxit=",mcontrol$maxit,"\n")
mcontrol$trace <- ctrl$trace
# 170924 no longer needed
## if (ctrl$trace < 1) {mcontrol$iprint <- -1} else {mcontrol$iprint <- ctrl$trace}
if (ctrl$trace > 0) cat("lbfgsb3c:control$have.bounds =",ctrl$have.bounds,"\n")
if (ctrl$have.bounds) { ## Note call uses prm not par
slower <- lower/pscale
supper <- upper/pscale
ans <- try(lbfgsb3c::lbfgsb3c(par=spar, fn=efn, gr=egr, lower = slower,
upper = supper, control=mcontrol, ...)) # explicit pkg in call 170919
} else {
ans <- try(lbfgsb3c::lbfgsb3c(par=spar, fn=efn, gr=egr, control=mcontrol, ...))
}
if (class(ans)[1] != "try-error") {
## Need to check these carefully??
# ans$convergence <- 0
ans$par <- ans$par*pscale
# ans$prm <- NULL
# ans$value<-as.numeric(ans$f)
# ans$f <- NULL
# ans$g <- NULL ## perhaps keep -- but how??
# ans$hessian <- NULL
ans$message <- NA
ans$niter <- NULL # loss of information
} else {
if (ctrl$trace>0) cat("lbfgsb3 failed for current problem \n")
ans<-list(fevals=NA) # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$convergence<-9999 # failed in run
ans$counts[1] <- NA
ans$counts[2] <- NA
ans$hessian <- NULL
ans$message <- NA
}
## return(ans)
} ## end if using lbfgsb3c
## --------------------------------------------
else if (method == "lbfgs") {# Use unconstrained method from lbfgs package
if (ctrl$trace > 1) cat("lbfgs\n")
if (ctrl$trace < 1) {invisible <- 1} else {invisible <- 0}
if (ctrl$trace > 1) cat("lbfgs:control$have.bounds =",ctrl$have.bounds,"\n")
ans <- list() # to define the answer object
errmsg <- NA
class(ans)[1] <- "undefined" # initial setting
## cat("in lbfgs section, ctrl$have.bounds=",ctrl$have.bounds,"\n")
if (ctrl$have.bounds) {
cat("ctrl$have.bounds seems TRUE\n")
if (ctrl$trace > 0) cat("lbfgs::lbfgs cannot handle bounds\n")
errmsg <- "lbfgs::lbfgs cannot handle bounds\n"
## stop("lbfgs::lbfgs tried with bounds")
class(ans)[1] <- "try-error"
}
if (is.null(egr)) {
if (ctrl$trace > 0) cat("lbfgs::lbfgs MUST have gradient provided\n")
errmsg <- "lbfgs::lbfgs MUST have gradient provided\n"
class(ans)[1] <- "try-error"
}
if (class(ans)[1] == "undefined"){
dotstuff <- list(...)
# cat("dotstuff:\n")
# print(dotstuff)
dotstuff$pscale <- pscale
dotstuff$fnscale <- fnscale
eopt <- list2env(dotstuff) # put it in an environment
# print(ls(eopt))
ans <- try(lbfgs::lbfgs(efn, egr, vars=spar,
environment=eopt, invisible=invisible))
}
# cat("interim answer:")
# print(ans)
if (class(ans)[1] != "try-error") {
## Need to check these carefully??
ans$par <- ans$par*pscale
ans$value <- ans$value*fnscale
ans$counts[1] <- NA # lbfgs seems to have no output like this
ans$counts[2] <- NA
} else {
if (ctrl$trace>0) cat("lbfgs failed for current problem \n")
ans<-list() # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par <- rep(NA,npar)
ans$convergence <- 9999 # failed in run
if (is.null(egr)) ans$convergence <- 9998 # no gradient
ans$counts[1] <- NA
ans$counts[2] <- NA
ans$hessian <- NULL
if (! is.na(errmsg)) ans$message <- errmsg
}
## return(ans)
} ## end if using lbfgs
## --------------------------------------------
else if (method == "subplex") {# Use unconstrained method from subplex package
if (ctrl$trace > 1) cat("subplex\n")
if (ctrl$trace < 1) {invisible <- 1} else {invisible <- 0}
if (ctrl$trace > 1) cat("subplex:control$have.bounds =",ctrl$have.bounds,"\n")
ans <- list() # to define the answer object
if (ctrl$trace > 0) warning("subplex has no trace mechanism")
class(ans)[1] <- "undefined" # initial setting
if (ctrl$have.bounds) {
cat("ctrl$have.bounds seems TRUE\n")
if (ctrl$trace > 0) cat("subplex::subplex cannot handle bounds\n")
stop("subplex::subplex cannot handle bounds")
}
if (class(ans)[1] == "undefined"){
ans <- try(subplex::subplex(par=spar, fn=efn, control=list(maxit=ctrl$maxfeval)))
}
if ((class(ans)[1] != "try-error") && (ans$convergence != -2)) {
## Need to check these carefully??
ans$par <- ans$par*pscale
ans$value <- ans$value*fnscale
ans$counts[1] <- ans$count
ans$counts[2] <- NA
ans$count <- NULL
ccode <- ans$convergence
ans$convergence <- 9999
ans$message <- paste("subplex:",ans$message)
if ((ccode == 0) || (ccode == 1)) {
ans$convergence <- 0
if (ccode == 0) { ans$message <- "subplex: success" }
else { ans$message <- "subplex: Limit of precision reached" }
} # converged OK
else {if (ccode == -1) {
ans$convergence <- 1
ans$message <- "subplex: function evaluation limit reached"
} # effort limit
}
} else {
if (ccode == -2) {
ans$convergence <- 20
}
else { ans$convergence <- 9999}
ans$value <- ctrl$badval
ans$par <- rep(NA,npar)
ans$counts[1] <- NA
ans$counts[2] <- NA
ans$hessian <- NULL
}
} ## end if using subplex
## --------------------------------------------
## END OF optimrx extra methods
# --- UNDEFINED METHOD ---
else { errmsg<-paste("UNDEFINED METHOD:", method, sep='')
stop(errmsg, call.=FALSE)
}
# Exit from routine
ans$value <- ans$value * fnscale # reset for maximum
if (savehess) { # compute hessian
if (is.null(orig.gr)) {
hess <- hessian(orig.fn, ans$par, ...) # from numDeriv
} else {
hess <- jacobian(orig.gr, ans$par, ...) # use Jacobian of gradient
}
} else { hess <- NULL } # to ensure it is defined
ans$hessian <- hess
ans # last statement of routine
} ## end of optimrx
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optimr <- function(par, fn, gr=NULL, hess=NULL, lower=-Inf, upper=Inf,
method=NULL, hessian=FALSE, control=list(), ...) {
## 180706: Problem with maxit. Likely issue is that opm gets ctrldefault and
## updates with actual control list. But here in nlm, maxit defaults to 100.
npar <- length(par)
ctrl <- ctrldefault(npar)
ncontrol <- names(control)
nctrl <- names(ctrl)
for (onename in ncontrol) {
if (onename %in% nctrl) {
if (! is.null(control[onename]) || ! is.na(control[onename]) )
ctrl[onename]<-control[onename]
}
} ## 180706: Should we try to streamline?
if (is.null(method)) method <- ctrl$defmethod
outmethod <- checksolver(method, ctrl$allmeth, ctrl$allpkg) # there will only be one!
if (is.null(outmethod)) {
if (ctrl$trace > 0) cat("Solver ",method," missing\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 8888 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- paste("Missing method ",method)
ans$hessian <- NULL
return(ans) # can't proceed without solver
}
# Check if bounded
bdmsk <- bmchk(par, lower=lower, upper=upper, shift2bound=TRUE)
if (bdmsk$parchanged) warning("Parameter(s) changed to nearest bounds\n")
ctrl$have.bounds <- bdmsk$bounds # and set a control value
orig.method <- method
orig.gr <- gr
orig.fn <- fn
if (is.null(hessian) ){
savehess <- FALSE
} else { savehess <- hessian } # logical -- whether to save hessian
# if (is.null(ctrl$trace)) ctrl$trace <- ctrl$trace
if (is.null(ctrl$parscale)) {
pscale <- rep(1,npar)
if(ctrl$trace > 0) { cat("Unit parameter scaling\n") }
} else {
pscale <- ctrl$parscale
if(ctrl$trace > 0) {
cat("Parameter scaling:")
print(pscale)
}
}
spar <- par/pscale # scaled parameters
slower <- -Inf
supper <- Inf # to ensure defined
if (ctrl$have.bounds) {
slower <- lower/pscale
supper <- upper/pscale
}
fnscale <- 1 # default to ensure defined
if (is.null(ctrl$fnscale)) {
if (! is.null(ctrl$maximize) && ctrl$maximize ) {fnscale <- -1}
else if (! is.null(ctrl$maximize)) {
if ( (ctrl$fnscale < 0) && ctrl$maximize) {fnscale <- -1} # this is OK
else stop("ctrl$fnscale and ctrl$maximize conflict")
} # end ifelse
} # end else
origmaximize <- ctrl$maximize # save the original in case we need it
ctrl$maximize <- FALSE # and ensure we minimize
ctrl$fnscale <- fnscale # to ensure set again
# 160615 -- decided to postpone adding nloptr
efn <- function(spar, ...) {
# rely on pscale being defined in this enclosing environment
par <- spar*pscale
val <- fn(par, ...) * fnscale
}
appgr<-FALSE # so far assuming analytic gradient
# DO NOT PROVIDE A DEFAULT -- LET METHOD DO THIS
# if (is.null(gr)) gr <- ctrl$defgrapprox
# if (is.null(gr)) cat("gr is NULL\n")
if (is.character(gr)) {
appgr <- TRUE # to inform us that we are using approximation
egr <- function(spar, ...){
if (ctrl$trace > 1) {
cat("fnscale =",fnscale," pscale=")
print(pscale)
cat("gr:")
print(gr)
cat("par:")
print(par)
}
par <- spar*pscale
result <- do.call(gr, list(par, userfn=fn, ...)) * fnscale
}
} else {
if (is.null(gr)) {egr <- NULL}
else {
egr <- function(spar, ...) {
par <- spar*pscale
result <- gr(par, ...) * pscale * fnscale
}
}
} # end egr definition
## cat("Now check if we need scaled hessian\n")
## cat("is.null(hess) = ",is.null(hess),"\n")
## if (! is.null(hess)) {
## cat("Hessian at parameters:\n")
## print(hess(par,...))
## }
if (is.null(hess)) { ehess <- NULL}
else { ehess <- function(spar, ...) {
par <- spar*pscale
result <- hess(par, ...) * pscale * pscale * fnscale
result
}
}
## cat("Is ehess present? is.null(ehess) =",is.null(ehess),"\n")
## if (! is.null(ehess)) {
## cat("eHessian at scaled parameters:\n")
## print(ehess(spar,...))
## }
if (appgr && (ctrl$trace>0)) cat("Using numerical approximation '",gr,"' to gradient in optimru()\n")
nlmfn <- function(spar, ...){
f <- efn(spar, ...)
if (is.null(egr)) {g <- NULL} else {g <- egr(spar, ...)}
attr(f,"gradient") <- g
if (is.null(ehess)) { h <- NULL } else {h <- ehess(spar, ...)}
attr(f,"hessian") <- h
f
}
## cat("Check nlmfn at spar\n")
## print(nlmfn(spar, ...))
## Masks
maskmeth <- ctrl$maskmeth
msk <- bdmsk$bdmsk # Only need the masks bit from here on
if (any(msk == 0) ) {
if ( !(method %in% maskmeth) ) {
stopmsg <- paste("Method ",method," cannot handle masked (fixed) parameters")
stop(stopmsg)
}
if (ctrl$trace > 0) cat("Masks present\n")
}
# replacement for optim to minimize using a single method
# time is in opm(), but not here
# The structure has par, value, counts, convergence, message, hessian
# Run a single method
# expand bounds
if (length(lower) == 1 && is.finite(lower) ) lower<-rep(lower,npar)
if (length(upper) == 1 && is.finite(upper) ) upper<-rep(upper,npar)
mcontrol <- list() # define the control list
# Methods from optim()
if (method == "Nelder-Mead" ||
method == "BFGS" ||
method == "L-BFGS-B" ||
method == "CG" ||
method == "SANN") {
# Take care of methods from optim(): Nelder-Mead, BFGS, L-BFGS-B, CG
mcontrol$maxit <- ctrl$maxit
if (! is.null(ctrl$maxit)) {mcontrol$maxit <- ctrl$maxit}
mcontrol$trace <- ctrl$trace
mcontrol$parscale <- NULL # using user fn
mcontrol$fnscale <- NULL
mcontrol$type <- ctrl$type # Use Polak Ribiere default (2)
# Note: hessian always FALSE in these calls. But savehess may recover it.
# cat("Before optim() call - ctrl$have.bounds =",ctrl$have.bounds,"\n")
if (ctrl$have.bounds) {
if (method != "L-BFGS-B") {
errmsg <- "optim() can only handle bounds with L-BFGS-B\n"
if (ctrl$trace > 0) cat(errmsg,"\n")
ans <- list()
class(ans)[1] <- "try-error"
warning("optimr: optim() with bounds ONLY uses L-BFGS-B")
} else {
ans <- try(optim(par=par, fn=efn, gr=egr,
lower=lower, upper=upper, method="L-BFGS-B", hessian=FALSE,
control=mcontrol, ...))
}
} else {
ans <- try(optim(par=par, fn=efn, gr=egr,
method=method, hessian=FALSE, control=mcontrol, ...))
}
if (class(ans)[1] == "try-error") { # bad result -- What to do?
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
errmsg <- "optim method failure\n"
if (method != "L-BFGS-B")
errmsg <- paste("optim() with bounds ONLY uses L-BFGS-B: ", errmsg)
if (ctrl$trace>0) cat(errmsg)
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- errmsg
} # otherwise ans is OK and we return it
## return(ans) # to ensure we return
} # end if using optim() methods
## --------------------------------------------
else if (method == "nlminb") {
# Here we use portLib routine nlminb rather than optim as our minimizer
mcontrol$iter.max<-ctrl$maxit # different name for iteration limit in this routine
mcontrol$maxit<-NULL # and we null it out
mcontrol$abs.tol <- 0 # To fix issues when minimum is less than 0. 20100711
mcontrol$eval.max <- ctrl$maxfeval
if ( is.null(ctrl$trace) || is.na(ctrl$trace) || ctrl$trace == 0) {
mcontrol$trace = 0
} else {
mcontrol$trace = 1 # this is EVERY iteration. nlminb trace is freq of reporting.
}
ans <- try(nlminb(start=spar, objective=efn, gradient=egr, hessian=ehess, lower=slower,
upper=supper, control=mcontrol, ...))
if (class(ans)[1] != "try-error") {
# Translate output to common format and names
ans$value<-ans$objective
ans$par <- ans$par*pscale
ans$objective<-NULL
ans$counts[1] <- ans$evaluations[1]
ans$counts[2] <- ans$evaluations[2]
ans$evaluations<-NULL # cleanup
ans$iterations<-NULL
ans$hessian <- NULL
} else { # bad result -- What to do?
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
if (ctrl$trace>0) cat("nlminb failure\n")
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- "nlminb failed" # 180318 change from NULL
ans$hessian <- NULL
}
## return(ans)
} ## end if using nlminb
## --------------------------------------------
else if (method == "nlm") { # Use stats package nlm routine
# if (is.null(gr)) { stop("optimr -- nlm -- we do not allow gr = NULL") }
if (! is.null(ctrl$maxit) ) {iterlim <- ctrl$maxit }
else { iterlim <- 100 }
print.level <- 0
errmsg <- NULL
if (ctrl$have.bounds) {
if(ctrl$trace > 0) cat("nlm cannot handle bounds\n")
errmsg <- "nlm cannot handle bounds\n"
## stop("nlm tried with bounds")
ans <- list()
class(ans)[1] <- "try-error"
} else {
if (! is.null(ctrl$trace) && (ctrl$trace > 0) ) {print.level <- 2 }
ans <- try(nlm(f=nlmfn, p=spar, iterlim=iterlim, print.level=print.level, ...))
}
if (class(ans)[1] != "try-error") {
if (ans$code == 1 || ans$code == 2 || ans$code == 3) ans$convergence <- 0
if (ans$code == 4) ans$convergence <- 1
if (ans$code == 5) ans$convergence <- 5
# Translate output to common format
ans$value <- ans$minimum
ans$minimum <- NULL
ans$par <- ans$estimate*pscale
ans$estimate <- NULL
ans$counts[2] <- ans$iterations
ans$counts[1] <- NA
ans$iterations <- NULL
ans$hessian <- NULL
ans$gradient <- NULL # We lose information here
ans$message <- paste("nlm: Convergence indicator (code) = ",ans$code)
ans$code <- NULL
} else {
if (ctrl$trace > 0) cat("nlm failed for this problem\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- "nlm failed" # 180318 change from NULL
ans$hessian <- NULL
}
print.level <- NULL # clean up
## return(ans)
} # end if using nlm
## --------------------------------------------
else if (method == "Rcgmin") { # Use Rcgmin routine (ignoring masks)
mcontrol$trace <- ctrl$trace
mcontrol$maxit <- ctrl$maxit # 151217 JN
if (! is.null(egr)) {
if (ctrl$have.bounds) { # 151220 -- this was not defined
# 170919 -- explicit reference to package
ans <- try(Rcgminb(par=spar, fn=efn, gr=egr, lower=slower,
upper=supper, bdmsk=msk, control=mcontrol, ...))
} else {
ans <- try(Rcgminu(par=spar, fn=efn, gr=egr, control=mcontrol, ...))
}
}
if (!is.null(egr) && (class(ans)[1] != "try-error")) {
ans$par <- ans$par*pscale
ans$message <- NA
ans$hessian <- NULL
ans$bdmsk <- NULL # clear this
} else {
if (ctrl$trace>0) {
cat("Rcgmin failed for current problem \n")
if(is.null(egr)) cat("Note: Rcgmin needs gradient function specified\n")
}
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
if(is.null(egr)) {
ans$message <- "Must specify gradient function for Rcgmin"
ans$convergence <- 9998 # for no gradient where needed
}
ans$hessian <- NULL
}
## return(ans)
} ## end if using Rcgmin
## --------------------------------------------
else if (method == "Rcgmin2") { # Use Rcgmin2 routine (ignoring masks)
mcontrol <- ctrl # 181203 -- try this as a starter
mcontrol <- NULL
mcontrol$trace <- ctrl$trace
# mcontrol$maxit <- ctrl$maxit # 151217 JN
if (! is.null(egr)) {
if (ctrl$have.bounds) { # 151220 -- this was not defined
# 170919 -- explicit reference to package
ans <- try(Rcgmin2::Rcgminb(par=spar, fn=efn, gr=egr, lower=slower,
upper=supper, bdmsk=msk, control=mcontrol, ...))
} else {
ans <- try(Rcgmin2::Rcgminu(par=spar, fn=efn, gr=egr, control=mcontrol, ...))
}
}
if (!is.null(egr) && (class(ans)[1] != "try-error")) {
ans$par <- ans$par*pscale
ans$message <- NA
ans$hessian <- NULL
ans$bdmsk <- NULL # clear this
} else {
if (ctrl$trace>0) {
cat("Rcgmin2 failed for current problem \n")
if(is.null(egr)) cat("Note: Rcgmin2 needs gradient function specified\n")
}
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
if(is.null(egr)) {
ans$message <- "Must specify gradient function for Rcgmin2"
ans$convergence <- 9998 # for no gradient where needed
}
ans$hessian <- NULL
}
## return(ans)
} ## end if using Rcgmin2
## --------------------------------------------
else if (method == "Rcgdescent") { # Use Rcgdescent -- unconstrained
mcontrol <- NULL # only use maxit het.
if (! is.null(ctrl$maxit)) mcontrol$maxit <- ctrl$maxit
if (! is.null(egr)) {
if (ctrl$have.bounds) {
stop("Rcgdescent does not handle bounds")
} else {
ans <- try(Rcgdescent::Rcgdescent(par=spar, fn=efn, gr=egr, ...))
}
}
if (!is.null(egr) && (class(ans)[1] != "try-error")) {
ans$par <- ans$par*pscale
ans$message <- NA
ans$hessian <- NULL
ans$bdmsk <- NULL # clear this
} else {
if (ctrl$trace>0) {
cat("Rcgdescent failed for current problem \n")
if(is.null(egr)) cat("Note: Rcgdescent needs gradient function specified\n")
}
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
if(is.null(egr)) {
ans$message <- "Must specify gradient function for Rcgdescent"
ans$convergence <- 9998 # for no gradient where needed
}
ans$hessian <- NULL
}
## return(ans)
} ## end if using Rcgdescent
## --------------------------------------------
else if (method == "Rvmmin") { # Use Rvmmin routine (ignoring masks??)
mcontrol$maxit <- ctrl$maxit
mcontrol$maxfeval <- ctrl$maxfeval
mcontrol$trace <- ctrl$trace # 140902 Note no check on validity of values
if (! is.null(egr)) {
ans <- try(Rvmmin(par=spar, fn=efn, gr=egr, lower=slower,
upper=supper, bdmsk=msk, control=mcontrol, ...))
}
if (ctrl$trace > 2) {
cat("Rvmmin ans:")
print(ans)
}
if (! is.null(egr) && (class(ans)[1] != "try-error")) {
ans$par <- ans$par*pscale
ans$bdmsk <- NULL
} else {
if (ctrl$trace>0) {
cat("Rvmmin failed for current problem \n")
if(is.null(egr)) cat("Note: Rvmmin needs gradient function specified\n")
}
ans<-list() # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
if(is.null(egr)) {
ans$message <- "Must specify gradient function for Rvmmin"
ans$convergence <- 9998 # for no gradient where needed
}
ans$hessian <- NULL
}
## return(ans)
} ## end if using Rvmmin
## --------------------------------------------
else if (method == "Rvmminq") { # Use Rvmminq routine (ignoring masks??)
mcontrol <- ctrl
# mcontrol$maxit <- ctrl$maxit
# mcontrol$maxfeval <- ctrl$maxfeval
# mcontrol$trace <- ctrl$trace # 140902 Note no check on validity of values
if (! is.null(egr)) {
ans <- try(Rvmminq(par=spar, fn=efn, gr=egr, lower=slower,
upper=supper, bdmsk=msk, control=mcontrol, ...))
}
if (ctrl$trace > 2) {
cat("Rvmminq ans:")
print(ans)
}
if (! is.null(egr) && (class(ans)[1] != "try-error")) {
ans$par <- ans$par*pscale
ans$bdmsk <- NULL
} else {
if (ctrl$trace>0) {
cat("Rvmminq failed for current problem \n")
if(is.null(egr)) cat("Note: Rvmminq needs gradient function specified\n")
}
ans<-list() # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
if(is.null(egr)) {
ans$message <- "Must specify gradient function for Rvmminq"
ans$convergence <- 9998 # for no gradient where needed
}
ans$hessian <- NULL
}
## return(ans)
} ## end if using Rvmminq
## --------------------------------------------
else if (method == "snewton") { # Use snewton routine (no bounds or masks??)
mcontrol$maxit <- ctrl$maxit
mcontrol$maxfeval <- ctrl$maxfeval # changed from maxfevals 180321
mcontrol$trace <- ctrl$trace # 140902 Note no check on validity of values
ans<-list(par=NA, value=NA, counts=NA, convergence=-1,
message=NA, hessian=NULL) # ans not yet defined, so set as list
if ( (! is.null(egr)) && (! is.null(ehess)) ) {
if (ctrl$have.bounds) { # 170919 make package explicit
stop("snewton does not handle bounds") #
}
tans <- try( snewton(par=spar, fn=efn, gr=egr, hess=ehess, control=mcontrol,...))
if (ctrl$trace>1) {
cat("snewton returns tans:")
print(tans)
}
if (class(tans)[1] == "try-error") {
ans$message <- "snewton failed"
ans$convergence <- 9999
if (ctrl$trace>0) {
cat(ans$message,"\n")
}
}
} else {
if(is.null(egr)) {
ans$message <- "Must specify gradient function for snewton"
ans$convergence <- 9998 # for no gradient where needed
warning("Note: snewton needs gradient function specified")
}
if(is.null(ehess)) {
ans$message <- "Must specify Hessian function (hess) for snewton"
ans$convergence <- 9997 # for no gradient where needed
warning("Note: snewton needs Hessian function (hess) specified")
}
}
if (ans$convergence > 9996){
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
# Note: in optim() no provision for hessian count
ans$hessian <- NULL
if (ctrl$trace>1) {
cat("snewton falure ans:")
print(ans)
}
} else { # have an answer
ans$par <- tans$par*pscale
ans$value <- tans$value
attr(ans, "gradient") <- tans$grad
if(hessian) ans$hessian <- tans$Hess
ans$counts[1] <- tans$counts$nfn
ans$counts[2] <- tans$counts$ngr
ans$message <- tans$message
ans$convergence <- tans$convcode
tans <- NULL # probably unnecessary, but for safety
if (ctrl$trace>1) {
cat("rejigged ans:")
print(ans)
}
} # end have answer
## return(ans)
} ## end if using snewton
## --------------------------------------------
else if (method == "snewtonm") { # Use snewtonm routine (no bounds or masks??)
mcontrol$maxit <- ctrl$maxit
mcontrol$maxfeval <- ctrl$maxfeval # changed from maxfevals 180321
mcontrol$trace <- ctrl$trace # 140902 Note no check on validity of values
ans<-list(par=NA, value=NA, counts=NA, convergence=-1,
message=NA, hessian=NULL) # ans not yet defined, so set as list
if ( (! is.null(egr)) && (! is.null(ehess)) ) {
if (ctrl$have.bounds) { # 170919 make package explicit
stop("snewtonm does not handle bounds") # ?? error -- doesn't handle bounds
}
tans <- try( snewtonm(par=spar, fn=efn, gr=egr, hess=ehess, control=mcontrol,...))
if (ctrl$trace>0) {
cat("snewtonm returns tans:")
print(tans)
}
if (class(tans)[1] == "try-error") {
ans$message <- "snewtonm failed"
ans$convergence <- 9999
if (ctrl$trace>0) {
cat(ans$message,"\n")
}
}
} else {
if(is.null(egr)) {
ans$message <- "Must specify gradient function for snewtonm"
ans$convergence <- 9998 # for no gradient where needed
warning("Note: snewtonm needs gradient function specified")
}
if(is.null(ehess)) {
ans$message <- "Must specify Hessian function (hess) for snewtonm"
ans$convergence <- 9997 # for no Hessian where needed
warning("Note: snewtonm needs Hessian function specified")
}
} # end of fails
if (ans$convergence > 9996){ # Bad solution
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
# Note: in optim() no provision for hessian count
ans$hessian <- NULL
if (ctrl$trace>1) {
cat("snewton falure ans:")
print(ans)
}
} else { # have an answer
# cat("copy answer with tans$par:\n")
# print(tans$par)
ans$par <- tans$par*pscale
ans$value <- tans$value
attr(ans, "gradient") <- tans$grad
if(hessian) ans$hessian <- tans$Hess
ans$counts[1] <- tans$counts$nfn
ans$counts[2] <- tans$counts$ngr
ans$message <- tans$message
ans$convergence <- tans$convcode
tans <- NULL # probably unnecessary, but for safety
if (ctrl$trace>1) {
cat("rejigged ans:")
print(ans)
}
} # end have answer
ans
} ## end if using snewtonm
## --------------------------------------------
else if (method == "hjn") {# Use JN Hooke and Jeeves
if (ctrl$trace > 0) {
# this function is in optimr, so does not need explicit package
cat("hjn:ctrl$have.bounds =",ctrl$have.bounds,"\n")
cat("optimr - hjn - msk:")
print(msk)
}
# 180327 Cannot maximize with hjn itself.
mcontrol <- ctrl # copy
mcontrol$maximize <- NULL # and null out maximize
ans <- try(hjn(spar, efn, lower=slower, upper=supper, bdmsk=msk,
control=mcontrol, ...))
if (class(ans)[1] != "try-error") {
## Need to check these carefully??
ans$par <- ans$par*pscale
ans$value <- ans$value*fnscale
ans$message <- NA # Should add a msg ??
} else {
if (ctrl$trace > 0) cat("hjn failed for current problem \n")
ans<-list() # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par <- rep(NA,npar)
ans$convergence <- 9999 # failed in run
ans$counts[1] <- NA
ans$counts[1] <- NA
ans$hessian <- NULL
ans$message <- NA
}
## return(ans)
} ## end if using hjn
## --------------------------------------------
else if (method == "spg") { # Use BB package routine spg as minimizer
mcontrol$maximize <- NULL # Use external maximization approach
mcontrol$maxit <- ctrl$maxit
mcontrol$maxfeval <- ctrl$maxfeval
if (ctrl$trace > 0) {
mcontrol$trace <- TRUE
if (ctrl$trace > 1) mcontrol$triter <- 1 # default is 10
} else { mcontrol$trace <- FALSE }
ans <- try(BB::spg(par=spar, fn=efn, gr=egr, lower=slower, upper=supper,
control=mcontrol, ...))
if (class(ans)[1] != "try-error") {
ans$par <- ans$par*pscale
ans$counts[1] <- ans$feval
ans$feval<-NULL # to erase conflicting name
ans$counts[2] <- ans$iter
ans$fn.reduction <- NULL # so it does not interfere
ans$iter<-NULL
ans$gradient<-NULL # loss of information
} else { # spg failed
if (ctrl$trace > 0) cat("spg failed for this problem\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
}
## return(ans)
} # end if using spg
## --------------------------------------------
else if (method == "ucminf") {
## Use ucminf routine
if (is.null(ctrl$maxit)) { mcontrol$maxeval <- 500 } # ensure there is a default value
else { mcontrol$maxeval <- ctrl$maxit}
mcontrol$maxit <- NULL # 150427 ensure nulled for ucminf
errmsg <- NULL
if (ctrl$have.bounds) {
if (ctrl$trace > 0) cat("ucminf cannot handle bounds\n")
errmsg <- "ucminf cannot handle bounds\n"
stop(errmsg)
ans <- list()
class(ans)[1] <- "try-error"
} else {
uhessian <- 0 # Ensure hessian NOT computed
ans <- try(ucminf::ucminf(par=spar, fn=efn, gr=egr,
hessian = uhessian, control=mcontrol, ...))
}
if (class(ans)[1] != "try-error") {
# From ucminf documentation: convergence = 1 Stopped by small gradient (grtol).
# 2 Stopped by small step (xtol).
# 3 Stopped by function evaluation limit (maxeval).
# 4 Stopped by zero step from line search
# -2 Computation did not start: length(par) = 0.
# -4 Computation did not start: stepmax is too small.
# -5 Computation did not start: grtol or xtol <= 0.
# -6 Computation did not start: maxeval <= 0.
# -7 Computation did not start: given Hessian not pos. definite.
# message: String with reason of termination.
if (ans$convergence == 1
|| ans$convergence == 2
|| ans$convergence == 4) {
ans$convergence <- 0
}
ans$par <- ans$par*pscale
ans$counts[1] <- ans$info[4]
ans$counts[2] <- ans$info[4] # calls fn and gr together
ans$info <- NULL # to erase conflicting name
ans$nitns <- NULL
ans$hessian <- NULL
ans$invhessian.lt <- NULL
if (ctrl$trace > 0) cat("ucminf message:",ans$message,"\n")
} else { # ucminf failed
if (ctrl$trace > 0) cat("ucminf failed for this problem\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- errmsg
ans$hessian <- NULL
}
uhessian <- NULL
## return(ans)
} ## end if using ucminf
## --------------------------------------------
else if (method == "Rtnmin") { # Use Rtnmin routines
if (ctrl$trace>0) {mcontrol$trace <- TRUE } else {mcontrol$trace <- FALSE}
ans<-list() # ans not yet defined, so set as list
errmsg <- NA
class(ans)[1] <- "undefined" # initial setting
if (is.null(egr)) { ## fixed msg below (referred to lbfgs) 170214
if (ctrl$trace > 0) cat("Rtnmin MUST have gradient provided\n")
errmsg <- "Rtnmin MUST have gradient provided"
class(ans)[1] <- "try-error"
} else {
if (ctrl$have.bounds) {
ans <- try(tnbc(x=spar, fgfun=nlmfn, lower=slower,
upper=supper, trace=mcontrol$trace, ...))
} else {
ans <- try(tn(x=spar, fgfun=nlmfn, trace=mcontrol$trace, ...))
}
}
if (class(ans)[1] == "try-error") {
if (ctrl$trace>0) cat("Rtnmin failed for current problem \n")
ans$convergence <- 9999 # failed in run
ans$message <- "Rtnmin failed fo current problem"
if (is.null(egr)) {
ans$convergence <- 9998
ans$message <- errmsg
ans$value <- 1234567E20
}
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA
ans$hessian <- NULL
} else {
ans$par <- ans$xstar*pscale
ans$xstar <- NULL
ans$value <- as.numeric(ans$f)
ans$f <- NULL
ans$g <- NULL
ans$convergence <- ans$ierror
ans$ierror <- NULL
ans$counts[1] <- ans$nfngr
ans$counts[2] <- ans$nfngr
ans$nfngr <- NULL
ans$hessian <- NULL
ans$message <- NA
}
## return(ans)
} ## end if using Rtnmin
## --------------------------------------------
else if (method == "bobyqa") {# Use bobyqa routine from minqa package
mcontrol$maxfun <- ctrl$maxfeval
mcontrol$iprint <- ctrl$trace
myrhobeg <- min(supper - slower)/3 # JN 160107 (3), 160125 (5)
if ((myrhobeg < 1e-8) || ! is.finite(myrhobeg) ) myrhobeg <- 0.5
mcontrol$rhobeg <- myrhobeg # to avoid 0 when parameters 0
ans <- try(minqa::bobyqa(par=spar, fn=efn, lower=slower,
upper=supper, control=mcontrol,...))
if (class(ans)[1] != "try-error") {
ans$convergence <- 0
# if (ans$feval > mcontrol$maxfun) {
# ans$convergence <- 1 # too many evaluations
# }
ans$convergence <- ans$ierr
ans$ierr <- NULL
ans$message <- ans$msg
ans$msg <- NULL
ans$counts[1] <- ans$feval
ans$counts[2] <- NA
ans$feval <- NULL
ans$value<-ans$fval
ans$par <- ans$par*pscale
ans$fval <- NULL # not used
ans$hessian <- NULL
} else {
if (ctrl$trace > 0) cat("bobyqa failed for current problem \n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
}
ans <- unclass(ans) # because minqa does strange things!
## return(ans)
} ## end if using bobyqa
## --------------------------------------------
else if (method == "uobyqa") {# Use uobyqa routine from minqa package
mcontrol$maxfun <- ctrl$maxfeval
mcontrol$iprint <- ctrl$trace
myrhobeg <- min(abs(spar)) # JN 160107 (3), 160125 (5)
if ((myrhobeg < 1e-8) || ! is.finite(myrhobeg) ) myrhobeg <- 0.5
mcontrol$rhobeg <- myrhobeg # to avoid 0 when parameters 0
if (ctrl$have.bounds) {
warning("Cannot use uobyqa with bounds")
if (ctrl$trace > 0) cat("Cannot use uobyqa with bounds\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
## return(ans)
}
ans <- try(minqa::uobyqa(par=spar, fn=efn, control=mcontrol,...))
if (class(ans)[1] != "try-error") {
ans$convergence <- 0
# if (ans$feval > mcontrol$maxfun) {
# ans$convergence <- 1 # too many evaluations
# }
ans$convergence <- ans$ierr
ans$ierr <- NULL
ans$message <- ans$msg
ans$msg <- NULL
ans$counts[1] <- ans$feval
ans$counts[2] <- NA
ans$feval <- NULL
ans$value<-ans$fval
ans$par <- ans$par*pscale
ans$fval <- NULL # not used
ans$hessian <- NULL
} else {
if (ctrl$trace > 0) cat("uobyqa failed for current problem \n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
}
ans <- unclass(ans) # because minqa does strange things!
## return(ans)
} ## end if using uobyqa
## --------------------------------------------
else if (method == "newuoa") {# Use newuoa routine from minqa package
if (ctrl$trace > 1) cat("Trying newuoa\n")
mcontrol$maxfun <- ctrl$maxfeval
mcontrol$iprint <- ctrl$trace
myrhobeg <- min(abs(spar)) # JN 160107 (3), 160125 (5)
if ((myrhobeg < 1e-8) || ! is.finite(myrhobeg) ) myrhobeg <- 0.5
mcontrol$rhobeg <- myrhobeg # to avoid 0 when parameters 0
if (ctrl$have.bounds) {
warning("Cannot use newuoa with bounds")
if (ctrl$trace > 0) cat("Cannot use newuoa with bounds\n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
## return(ans)
}
ans <- try(minqa::newuoa(par=spar, fn=efn, control=mcontrol,...))
if (class(ans)[1] != "try-error") {
ans$convergence <- 0
# if (ans$feval > mcontrol$maxfun) {
# ans$convergence <- 1 # too many evaluations
# }
ans$convergence <- ans$ierr
ans$ierr <- NULL
ans$message <- ans$msg
ans$msg <- NULL
ans$counts[1] <- ans$feval
ans$feval <- NULL
ans$counts[2] <- NA
ans$value<-ans$fval
ans$par <- ans$par*pscale
ans$fval <- NULL # not used
ans$hessian <- NULL
} else {
if (ctrl$trace > 0) cat("bobyqa failed for current problem \n")
ans<-list() # ans not yet defined, so set as list
ans$convergence <- 9999 # failed in run
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$counts[1] <- NA # save function and gradient count information
ans$counts[2] <- NA # save function and gradient count information
ans$message <- NULL
ans$hessian <- NULL
}
ans <- unclass(ans) # because minqa does strange things!
## return(ans)
} ## end if using newuoa
## --------------------------------------------
else if (method == "nmkb") {# Use nmkb routine from dfoptim package
if (any(par == lower) || any(par==upper)) {
if (ctrl$trace>0) cat("nmkb cannot start if on any bound \n")
warning("nmkb() cannot be started if any parameter on a bound")
ans <- list() # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par <- rep(NA,npar)
ans$convergence <- 9999 # failed in run - ?? consider special code for nmkb on bounds
ans$fevals <- NA
ans$gevals <- NA
ans$nitns <- NA
ans$hessian <- NULL
} else { # ok to proceed with nmkb()
if (! is.null(ctrl$maxit)) {
mcontrol$maxfeval <- ctrl$maxit
} else {
mcontrol$maxfeval <- 5000*round(sqrt(npar+1)) # ?? default at 100215, but should it be changed?
}
if (ctrl$trace > 0) { mcontrol$trace <- TRUE } # logical needed, not integer
else { mcontrol$trace<-FALSE }
if (ctrl$have.bounds) {
ans <- try(dfoptim::nmkb(par=spar, fn=efn, lower = slower,
upper = supper, control=mcontrol, ...))
} else {# 170919 explicit package in call
ans <- try(dfoptim::nmk(par=spar, fn=efn, control=mcontrol, ...))
}
if (ctrl$trace > 1) {
cat("Outputting ans for nmkb:\n")
print(ans)
}
if (class(ans)[1] != "try-error") {
ans$value <- as.numeric(ans$value)
ans$par <- ans$par*pscale
ans$counts[1] <- ans$feval
ans$feval <- NULL
ans$counts[2] <- NA
ans$nitns <- NA # not used
# What about 'restarts' and 'message'??
warning(ans$message," Restarts for stagnation =",ans$restarts)
ans$restarts <- NULL
ans$hessian <- NULL
} else {
if (ctrl$trace>0) cat("nmkb failed for current problem \n")
ans <- list(fevals=NA) # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par <- rep(NA,npar)
ans$counts[1] <- NA
ans$counts[2] <- NA
ans$convergence <- 9999 # failed in run
ans$message<-"Failed"
ans$hessian <- NULL
}
} # end of check for parameter on bound
## return(ans)
} ## end if using nmkb
## --------------------------------------------
else if (method == "hjkb") {# Use hjkb routine from dfoptim package
if (ctrl$trace > 0) {
mcontrol$info <- TRUE # logical needed, not integer
} else { mcontrol$info <- FALSE }
mcontrol$maxfeval <- ctrl$maxfeval
if (ctrl$have.bounds) {
ans <- try(dfoptim::hjkb(par=spar, fn=efn, lower = slower,
upper = supper, control=mcontrol, ...))
} else {
ans <- try(dfoptim::hjk(par=spar, fn=efn, control=mcontrol, ...))
}
if (class(ans)[1] != "try-error") {
ans$value <- as.numeric(ans$value)
ans$par <- ans$par*pscale
ans$counts[1] <- ans$feval
ans$feval <- NULL
ans$counts[2] <- NA
ans$nitns <- NULL # not used
ans$restarts <- NULL
ans$hessian <- NULL
ans$nitns <- NULL # loss of information
} else {
if (ctrl$trace>0) cat("hjkb failed for current problem \n")
ans <- list(value=ctrl$badval, par=rep(NA,npar), message="Failed",
convergence=9999)
ans$counts[1]<- NA
ans$counts[2]<- NA
ans$hessian <- NULL
}
## return(ans)
} ## end if using hjkb
## --------------------------------------------
else if (method == "lbfgsb3") {# Use 2011 L-BFGS-B wrapper. UPDATED for lbfgsb3c 190319
if (ctrl$trace > 1) cat("lbfgsb3\n")
mcontrol$trace <- ctrl$trace
mcontrol$maxit <- ctrl$maxit
if (ctrl$trace > 2) cat("lbfgsb3: maxit=",mcontrol$maxit,"\n")
# 170924 no longer needed
## if (ctrl$trace < 1) {mcontrol$iprint <- -1} else {mcontrol$iprint <- ctrl$trace}
if (ctrl$trace > 2) cat("lbfgsb3:control$have.bounds =",ctrl$have.bounds,"\n")
if (ctrl$have.bounds) { ## Note call uses prm not par
slower <- lower/pscale
supper <- upper/pscale
ans <- try(lbfgsb3c::lbfgsb3(par=spar, fn=efn, gr=egr, lower = slower,
upper = supper, control=mcontrol, ...)) # explicit pkg in call 170919
} else {
ans <- try(lbfgsb3c::lbfgsb3(par=spar, fn=efn, gr=egr, control=mcontrol, ...))
}
if (class(ans)[1] != "try-error") {
## Need to check these carefully??
# ans$convergence <- 0
ans$par <- ans$par*pscale
# ans$prm <- NULL
# ans$value<-as.numeric(ans$f)
# ans$f <- NULL
# ans$g <- NULL ## perhaps keep -- but how??
# ans$hessian <- NULL
ans$message <- NA
ans$niter <- NULL # loss of information
} else {
if (ctrl$trace>0) cat("lbfgsb3 failed for current problem \n")
ans<-list(fevals=NA) # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$convergence<-9999 # failed in run
ans$counts[1] <- NA
ans$counts[2] <- NA
ans$hessian <- NULL
ans$message <- NA
}
## return(ans)
} ## end if using lbfgsb3
## --------------------------------------------
else if (method == "lbfgsb3c") {# Use 2011 L-BFGS-B wrapper
if (ctrl$trace > 1) cat("lbfgsb3c\n")
mcontrol$maxit <- ctrl$maxit
if (ctrl$trace > 2) cat("lbfgsb3c: maxit=",mcontrol$maxit,"\n")
mcontrol$trace <- ctrl$trace
# 170924 no longer needed
## if (ctrl$trace < 1) {mcontrol$iprint <- -1} else {mcontrol$iprint <- ctrl$trace}
if (ctrl$trace > 0) cat("lbfgsb3c:control$have.bounds =",ctrl$have.bounds,"\n")
if (ctrl$have.bounds) { ## Note call uses prm not par
slower <- lower/pscale
supper <- upper/pscale
ans <- try(lbfgsb3c::lbfgsb3c(par=spar, fn=efn, gr=egr, lower = slower,
upper = supper, control=mcontrol, ...)) # explicit pkg in call 170919
} else {
ans <- try(lbfgsb3c::lbfgsb3c(par=spar, fn=efn, gr=egr, control=mcontrol, ...))
}
if (class(ans)[1] != "try-error") {
## Need to check these carefully??
# ans$convergence <- 0
ans$par <- ans$par*pscale
# ans$prm <- NULL
# ans$value<-as.numeric(ans$f)
# ans$f <- NULL
# ans$g <- NULL ## perhaps keep -- but how??
# ans$hessian <- NULL
ans$message <- NA
ans$niter <- NULL # loss of information
} else {
if (ctrl$trace>0) cat("lbfgsb3 failed for current problem \n")
ans<-list(fevals=NA) # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par<-rep(NA,npar)
ans$convergence<-9999 # failed in run
ans$counts[1] <- NA
ans$counts[2] <- NA
ans$hessian <- NULL
ans$message <- NA
}
## return(ans)
} ## end if using lbfgsb3c
## --------------------------------------------
else if (method == "lbfgs") {# Use unconstrained method from lbfgs package
if (ctrl$trace > 1) cat("lbfgs\n")
if (ctrl$trace < 1) {invisible <- 1} else {invisible <- 0}
if (ctrl$trace > 1) cat("lbfgs:control$have.bounds =",ctrl$have.bounds,"\n")
ans <- list() # to define the answer object
errmsg <- NA
class(ans)[1] <- "undefined" # initial setting
## cat("in lbfgs section, ctrl$have.bounds=",ctrl$have.bounds,"\n")
if (ctrl$have.bounds) {
cat("ctrl$have.bounds seems TRUE\n")
if (ctrl$trace > 0) cat("lbfgs::lbfgs cannot handle bounds\n")
errmsg <- "lbfgs::lbfgs cannot handle bounds\n"
## stop("lbfgs::lbfgs tried with bounds")
class(ans)[1] <- "try-error"
}
if (is.null(egr)) {
if (ctrl$trace > 0) cat("lbfgs::lbfgs MUST have gradient provided\n")
errmsg <- "lbfgs::lbfgs MUST have gradient provided\n"
class(ans)[1] <- "try-error"
}
if (class(ans)[1] == "undefined"){
dotstuff <- list(...)
# cat("dotstuff:\n")
# print(dotstuff)
dotstuff$pscale <- pscale
dotstuff$fnscale <- fnscale
eopt <- list2env(dotstuff) # put it in an environment
# print(ls(eopt))
ans <- try(lbfgs::lbfgs(efn, egr, vars=spar,
environment=eopt, invisible=invisible))
}
# cat("interim answer:")
# print(ans)
if (class(ans)[1] != "try-error") {
## Need to check these carefully??
ans$par <- ans$par*pscale
ans$value <- ans$value*fnscale
ans$counts[1] <- NA # lbfgs seems to have no output like this
ans$counts[2] <- NA
} else {
if (ctrl$trace>0) cat("lbfgs failed for current problem \n")
ans<-list() # ans not yet defined, so set as list
ans$value <- ctrl$badval
ans$par <- rep(NA,npar)
ans$convergence <- 9999 # failed in run
if (is.null(egr)) ans$convergence <- 9998 # no gradient
ans$counts[1] <- NA
ans$counts[2] <- NA
ans$hessian <- NULL
if (! is.na(errmsg)) ans$message <- errmsg
}
## return(ans)
} ## end if using lbfgs
## --------------------------------------------
else if (method == "subplex") {# Use unconstrained method from subplex package
if (ctrl$trace > 1) cat("subplex\n")
if (ctrl$trace < 1) {invisible <- 1} else {invisible <- 0}
if (ctrl$trace > 1) cat("subplex:control$have.bounds =",ctrl$have.bounds,"\n")
ans <- list() # to define the answer object
if (ctrl$trace > 0) warning("subplex has no trace mechanism")
class(ans)[1] <- "undefined" # initial setting
if (ctrl$have.bounds) {
cat("ctrl$have.bounds seems TRUE\n")
if (ctrl$trace > 0) cat("subplex::subplex cannot handle bounds\n")
stop("subplex::subplex cannot handle bounds")
}
if (class(ans)[1] == "undefined"){
ans <- try(subplex::subplex(par=spar, fn=efn, control=list(maxit=ctrl$maxfeval)))
}
if ((class(ans)[1] != "try-error") && (ans$convergence != -2)) {
## Need to check these carefully??
ans$par <- ans$par*pscale
ans$value <- ans$value*fnscale
ans$counts[1] <- ans$count
ans$counts[2] <- NA
ans$count <- NULL
ccode <- ans$convergence
ans$convergence <- 9999
ans$message <- paste("subplex:",ans$message)
if ((ccode == 0) || (ccode == 1)) {
ans$convergence <- 0
if (ccode == 0) { ans$message <- "subplex: success" }
else { ans$message <- "subplex: Limit of precision reached" }
} # converged OK
else {if (ccode == -1) {
ans$convergence <- 1
ans$message <- "subplex: function evaluation limit reached"
} # effort limit
}
} else {
if (ccode == -2) {
ans$convergence <- 20
}
else { ans$convergence <- 9999}
ans$value <- ctrl$badval
ans$par <- rep(NA,npar)
ans$counts[1] <- NA
ans$counts[2] <- NA
ans$hessian <- NULL
}
} ## end if using subplex
## --------------------------------------------
## END OF optimrx extra methods
# --- UNDEFINED METHOD ---
else { errmsg<-paste("UNDEFINED METHOD:", method, sep='')
stop(errmsg, call.=FALSE)
}
# Exit from routine
ans$value <- ans$value * fnscale # reset for maximum
if (savehess) { # compute hessian
if (is.null(orig.gr)) {
hess <- hessian(orig.fn, ans$par, ...) # from numDeriv
} else {
hess <- jacobian(orig.gr, ans$par, ...) # use Jacobian of gradient
}
} else { hess <- NULL } # to ensure it is defined
ans$hessian <- hess
ans # last statement of routine
} ## end of optimrx
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