inst/developmentnotes/toptimx.R

In optimz: A Replacement and Extension of the 'optim' Function

require(optimz)

cat("Show how optimz works\n")

require(graphics)
cat("Note demo(ox) for extended examples\n")

cat("Here we duplicate (but could use as test) example from man page\n")

## Show multiple outputs of optimx using all.methods
# genrose function code
genrose.f<- function(x, gs=NULL){ # objective function
## One generalization of the Rosenbrock banana valley function (n parameters)
	n <- length(x)
        if(is.null(gs)) { gs=100.0 }
	fval<-1.0 + sum (gs*(x[1:(n-1)]^2 - x[2:n])^2 + (x[2:n] - 1)^2)
        return(fval)
}

genrose.g <- function(x, gs=NULL){
# vectorized gradient for genrose.f
# Ravi Varadhan 2009-04-03
	n <- length(x)
        if(is.null(gs)) { gs=100.0 }
	gg <- as.vector(rep(0, n))
	tn <- 2:n
	tn1 <- tn - 1
	z1 <- x[tn] - x[tn1]^2
	z2 <- 1 - x[tn]
	gg[tn] <- 2 * (gs * z1 - z2)
	gg[tn1] <- gg[tn1] - 4 * gs * x[tn1] * z1
	return(gg)
}

genrose.h <- function(x, gs=NULL) { ## compute Hessian
   if(is.null(gs)) { gs=100.0 }
	n <- length(x)
	hh<-matrix(rep(0, n*n),n,n)
	for (i in 2:n) {
		z1<-x[i]-x[i-1]*x[i-1]
		z2<-1.0-x[i]
                hh[i,i]<-hh[i,i]+2.0*(gs+1.0)
                hh[i-1,i-1]<-hh[i-1,i-1]-4.0*gs*z1-4.0*gs*x[i-1]*(-2.0*x[i-1])
                hh[i,i-1]<-hh[i,i-1]-4.0*gs*x[i-1]
                hh[i-1,i]<-hh[i-1,i]-4.0*gs*x[i-1]
	}
        return(hh)
}

startx<-4*seq(1:10)/3.
ans8z<-opm(startx,fn=genrose.f,gr=genrose.g, hess=genrose.h, 
   control=list(all.methods=TRUE, save.failures=TRUE, trace=0), gs=10)
ans8z
ans8z[, "gevals"]
ans8z["spg", ]
summary(ans8z, par.select = 1:3)
summary(ans8z, order = value)[1, ] # show best value
head(summary(ans8z, order = value)) # best few
## head(summary(ans8, order = "value")) # best few -- alternative syntax

## order by value.  Within those values the same to 3 decimals order by fevals.
## summary(ans8, order = list(round(value, 3), fevals), par.select = FALSE)
summary(ans8z, order = "list(round(value, 3), fevals)", par.select = FALSE)

## summary(ans8, order = rownames, par.select = FALSE) # order by method name
summary(ans8z, order = "rownames", par.select = FALSE) # same

summary(ans8z, order = NULL, par.select = FALSE) # use input order
## summary(ans8, par.select = FALSE) # same