R/getbundle.R

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

getbundle <-
function(fn,gr,x,g=gr(x),samprad,N){
  is.naninf <- function(v) {
    any(is.na(v)) || any(is.infinite(v)) || any(is.nan(v))
  }
  m <- length(x)
  #declare empty matrices
  xbundle <- matrix(NA,m,N)
  gbundle <- matrix(NA,m,N)
  xbundle[,1] <- x
  gbundle[,1] <- g
  for(k in 2:N){
    xpert <- x+samprad*(runif(m)-0.5) #samprad is a scaler here
    f <- fn(xpert)
    grd <- gr(xpert)
    count <- 0
    while(is.nainf(f) || is.nainf(grd)){
      xpert <- (x+xpert)/2
      f <- fn(xpert)
      grd <- gr(xpert)
      count <- count+1
      if(count > 100) stop('getbundle: too many contractions needed to find finite f and g')
    }
    xbundle[,k] <- xpert
    gbundle[,k] <- grd
  }
  return(list(xbundle=xbundle,gbundle=gbundle))
}