tests/snrbk.R

In snewton: Safeguarded Newton Approach for Function Minimization

require(snewton)
#Rosenbrock banana valley function
f <- function(x){
return(100*(x[2] - x[1]*x[1])^2 + (1-x[1])^2)
}
#gradient
gr <- function(x){
return(c(-400*x[1]*(x[2] - x[1]*x[1]) - 2*(1-x[1]), 200*(x[2] - x[1]*x[1])))
}
#Hessian
h <- function(x) {
a11 <- 2 - 400*x[2] + 1200*x[1]*x[1]; a21 <- -400*x[1]
return(matrix(c(a11, a21, a21, 200), 2, 2))
}

x0 <- c(-1.2, 1)

xx <- x0

# sink("mbrn1-170408.txt", split=TRUE)
sol1 <- snewton(x0, fn=f, gr=gr, hess=h, control=list(trace=2))
print(sol1)
# sink()