[Rd] optim(…, method=‘L-BFGS-B’) stops with an error message while violating the lower bound

[Mark Leeds]

Hi Spencer:

1)  I can't help much as far as your results but one thing you could do is
check what
the convergence flag of Rvmmin is. There are difference ones depending
on what happened during the optimization and they're pretty helpful IIRC.
But that may require running Rvmmin directly rather than in optimx.
I did a lot of optimizations ( hundreds ) at one point and I never saw it
return NA ??

2) I wasn't sure about 2) either so I figured it was safer to get away from
L-BFGS-B.








On Sat, Oct 8, 2016 at 7:03 PM, Spencer Graves <spencer.graves at prodsyse.com>
wrote:

> Hi, Mark et al.:
>
>
>       Thanks, Mark.
>
>
>       Three comments:
>
>
>             1.  Rvmmin was one of the methods I tried after Ravi directed
> me to optimx.  It returned NAs for essentially everything.  See my email of
> this subject stamped 4:43 PM Central time = 21:43 UTC.
>
>
>             2.  It would be interesting to know if the current algorithm
> behind optim and optimx with method='L-BFGS-B' incorporates Morales and
> Nocedal (2011) 'Remark on “Algorithm 778: L-BFGS-B: Fortran Subroutines for
> Large-Scale Bound Constrained Optimization”'.  I created this vignette and
> started this threat hoping that someone on the R Core team might decide
> it's worth checking things like that.
>
>
>             3.  The vignette mentioned below was extracted from a larger
> vignette fitting several models that seem to encounter convergence
> problems.  I should probably switch to optimx using all the methods that
> offers for constrained optimization, including nminb.
>
>
>       Best Wishes,
>       Spencer Graves
>
>
>
> On 10/8/2016 5:00 PM, Mark Leeds wrote:
>
> Hi Spencer: See the link below about L-BFGS-B below because  I had problems
> with it a good while back (and I think the link description is the cause
> but I can't prove it )  so  eventually I moved to the  Rvmmin(b) package.
> It's a package but really an algorithm. Rvmmin(b) uses a variable-metric
> algorithm similar to that of L-BFGS-B but without the problem below. It's
> not surprisingly a creation of John Nash and quite impressive based on my
> experience. Just like L-BFGS, it can implement box constraints by adding
> the b.
>
> http://users.eecs.northwestern.edu/~morales/PSfiles/acm-remark.pdf
>
>
>
>
>
>
>
> On Sat, Oct 8, 2016 at 2:50 PM, Spencer Graves <
> spencer.graves at prodsyse.com> wrote:
>
>> Hello:
>>
>>
>>       The development version of Ecdat on R-Forge contains a vignette in
>> which optim(…, method=‘L-BFGS-B’) stops with an error message while
>> violating the lower bound.
>>
>>
>>       To see all the details, try the following:
>>
>>
>> install.packages("Ecdat", repos="http://R-Forge.R-project.org")
>>
>>
>>       Then do "help(pac=Ecdat)" -> "User guides, package vignettes and
>> other documentation" -> "Ecdat::AverageIncomeModels".
>>
>>
>>       I've found other optimizers that will get around the problem in
>> this case but none that performs as well as optim with many other problems.
>>
>>
>>       Thanks,
>>       Spencer Graves
>>
>>
>> p.s.  I've also tested bobyqa{minqa} or nloptr{nloptr}, recommended in a
>> vignette in the lme4 package.  These did better than optim in this example
>> but worse in others I tried.
>>
>> ______________________________________________
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>> https://stat.ethz.ch/mailman/listinfo/r-devel
>
>
>
>

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