[Rd] feature request: optim() iteration of functions that return multiple values

[Enrico Schumann]

On Thu, 03 Aug 2023, Sami Tuomivaara writes:

> Dear all,
>
> I have used optim a lot in contexts where it would
> useful to be able to iterate function myfun that, in
> addition to the primary objective to be minimized
> ('minimize.me'), could return other values such as
> alternative metrics of the minimization, informative
> intermediate values from the calculations, etc.
>
> myfun  <- function()
> {
> ...
> return(list(minimize.me = minimize.me, R2 = R2, pval = pval, etc.))
> }
>
> During the iteration, optim could utilize just the first value from the myfun return list; all the other values calculated and returned by myfun could be ignored by optim.
> After convergence, the other return values of myfun
> could be finally extracted and appended into the optim
> return value (which is a list) as additional entry
> e.g.: $aux <- list(R2, pval, etc.), (without
> 'minimize.me' as it is already returned as $value).
>
> The usual ways for accessing optim return values, e.g.,
> $par, $value, etc. are not affected.  Computational
> cost may not be prohibitive either.  Is this feasible
> to consider?
>

If you only wish to store additional information, you could do
so with an environment, without changing optim.  For instance,
like so (using the first example from ?optim):

    data <- new.env()
    data$i <- 0
    data$fun.value <- numeric(1000)
    
    fr <- function(x, data) {   ## Rosenbrock Banana function
        x1 <- x[1]
        x2 <- x[2]
        ans <- 100 * (x2 - x1 * x1)^2 + (1 - x1)^2
        data$i <- data$i + 1
        data$fun.value[data$i] <- ans
        ans
    }
    optim(c(-1.2,1), fr, data = data)
    ## $par
    ## [1] 1.000260 1.000506
    ## 
    ## $value
    ## [1] 8.825241e-08
    ## 
    ## $counts
    ## function gradient 
    ##      195       NA 
    ## 
    ## ....

    data$i
    ## 195
    
    plot(data$fun.value[1:data$i])




-- 
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net