R/shor.R

In rHanso: An R Implementation of Hybrid Algorithm for Non-Smooth Optimization (HANSO)

shor <- function(fn, gr, nvar = 0, nstart = 10, x0 = NULL, upper = 1, lower = 0, maxit = 1000, fvalquit = -Inf, 
  beta = 0.5, normtol = 1e-06, xnormquit = Inf, evaldist = 1e-04, ngrad = 0, rescale = 0, strongwolfe = 0, 
  useprevstep = 0, wolfe1 = 1e-04, wolfe2 = 0.5, quitLSfail = TRUE, prtlevel = 1) {
  
  if (!is.null(x0)) {
    
    if (class(x0) == "numeric") {
      x0 <- matrix(x0)
      nstart <- 1
      nvar = length(x0)
    } else if (class(x0) == "matrix") {
      nvar <- nrow(x0)
      nstart <- ncol(x0)
    } else stop("unknown initial value matrix, please enter a numeric vector or matrix")
  } else {
    nstart <- 10
    M <- matrix(runif(nvar * nstart), nrow = nvar, ncol = nstart)
    x0 <- (upper - lower) * M + lower
  }
  
  
  x <- matrix(NA, nvar, nstart)
  f <- c()
  g <- matrix(NA, nvar, nstart)
  B <- list()
  frec <- list()
  fevalrec <- list()
  betarec <- list()
  xrec <- list()
  svrec <- list()
  
  for (run in 1:nstart) {
    res <- shor1run(fn, gr, x0[, run], maxit, fvalquit, beta, normtol, xnormquit, evaldist, ngrad, rescale, 
      strongwolfe, useprevstep, wolfe1, wolfe2, quitLSfail, prtlevel)
    x[, run] <- res$x
    f[run] <- res$f
    g[, run] <- res$g
    B[[run]] <- res$B
    frec[[run]] <- res$frec
    fevalrec[[run]] <- res$fevalrecall
    betarec[[run]] <- res$betarec
    xrec[[run]] <- res$xrec
    svrec[[run]] <- res$svrec
    
  }
  
  return(list(x = x, f = f, g = g, B = B, frec = frec, fevalrec = fevalrec, betarec = betarec, xrec = xrec, 
    svrec = svrec))
  
}