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

[Martin Becker]

For a solution that does not require any change to the original function 
being optimized, the following one-liner could be used, which converts 
existing functions to functions that return only the first element:

returnFirst <- function(fun) function(...) do.call(fun,list(...))[[1]]

Example:

fr <- function(x) {   ## Rosenbrock Banana function
   x1 <- x[1]
   x2 <- x[2]
   ans <- 100 * (x2 - x1 * x1)^2 + (1 - x1)^2
   list(ans=ans, extra1 = 1:10, extra2 = letters)
}

fr2 <- returnFirst(fr)
tmp <- optim(c(-1.2,1), fr2)
fr(tmp$par)


Am 03.08.23 um 22:21 schrieb Sami Tuomivaara:
> 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?
> 
> 
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> 
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