[R] any more direct-search optimization method in R

[Spencer Graves]

WC:

	  What do you mean by "noisy" in this context?

	  1.  You say, "gradient, hessian not available".  Is it continuous 
with perhaps discontinuities in the first derivative?

	  2.  Or is it something you can compute only to, say, 5 significant 
digits, and some numerical optimizers get lost trying to estimate 
derivatives from so fine a grid that the gradient and hessian are mostly 
noise?

	  3.  Also, why do you think "constrOptim" is too slow?  Does it call 
your function too many times or does your function take too long to 
compute each time it's called?

	  4.  What's not satisfactory about the results of "constrOptim"?

	  5.  Do you know if only one it has only one local minimum in the 
region, or might it have more?

	  6.  Regardless of the answers to the above, have you considered using 
"expand.grid" to get starting values and narrow the search (with 
possibly system.time or proc.time to find out how much time is required 
for each function evaluation)?  I haven't tried this, but I would think 
it would be possible to fit a spline (either exactly or a smoothing 
spline) to a set of points, then optimize the spline.

	  hope this helps.
	  spencer graves

Ingmar Visser wrote:

> If you have only boundary constraints on parameters you can use method
> L-BFGS in optim.
> Hth, ingmar
> 
> 
> 
>>From: Weijie Cai <wcai11 at hotmail.com>
>>Date: Tue, 28 Feb 2006 11:48:32 -0500
>>To: <r-help at stat.math.ethz.ch>
>>Subject: [R] any more direct-search optimization method in R
>>
>>Hello list,
>>
>>I am dealing with a noisy function (gradient,hessian not available) with
>>simple boundary constraints (x_i>0). I've tried constrOptim() using nelder
>>mead to minimize it but it is way too slow and the returned results are not
>>satisfying. simulated annealing is so hard to tune and it always crashes R
>>program in my case. I wonder if there are any packages or functions can do
>>direct search optimization?
>>
>>A rough search in literature shows multidirectional search and DIRECT
>>algorithm may help. Is there any other satisfying algorithm?
>>
>>Thanks,
>>WC
>>
>>______________________________________________
>>R-help at stat.math.ethz.ch mailing list
>>https://stat.ethz.ch/mailman/listinfo/r-help
>>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
> 
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html