[R] r's optim vs. matlab's fminsearch
Michael H. Prager
Mike.Prager at noaa.gov
Mon Jun 12 21:39:32 CEST 2006
In using Nelder-Mead outside R, I find it critical to restart the
algorithm (repeatedly) after it thinks it's found a solution, to see if
it can do better. I can't say whether the R and Matlab implementations
do this automatically or not.
on 6/12/2006 3:00 PM Anthony Bishara said the following:
> Thanks for the feedback. I should've mentioned before that the
> function is non-smooth. Also, it has a 3-element free parameter vector, and
> I've been using a grid of 27 vectors of starting parameters.
>
> Anthony
>
> -----Original Message-----
> From: Prof Brian Ripley [mailto:ripley at stats.ox.ac.uk]
> Sent: Monday, June 12, 2006 1:40 PM
> To: Anthony Bishara
> Cc: r-help at stat.math.ethz.ch
> Subject: Re: [R] r's optim vs. matlab's fminsearch
>
> Unless you know the function to be non-smooth, I suggest you use
> method="BFGS" in R.
>
> BTW, all such algorithms are only designed to find local minima, and so
> the choice of starting point may be crucial.
>
> On Mon, 12 Jun 2006, Anthony Bishara wrote:
>
>
>> Hi,
>> I'm having a problem converting a Matlab program into R. The R code works
>> almost all the time, but about 4% of the time R's optim function gets
>>
> stuck
>
>> on a local minimum whereas matlab's fminsearch function does not (or at
>> least fminsearch finds a better minimum than optim). My understanding is
>> that both functions default to Nelder-Mead optimization, but what's
>> different about the two functions? Below, I've pasted the relevant
>>
> default
>
>> options I could find. Are there other options I should to consider? Does
>> Matlab have default settings for reflection, contraction, and expansion,
>>
> and
>
>> if so what are they? Are there other reasons optim and fminsearch might
>> work differently?
>> Thanks.
>>
>> ***Matlab's fminsearch defaults***
>> MaxFunEvals: '200*numberofvariables'
>> MaxIter: '200*numberofvariables'
>> TolFun: 1.0000e-004 #Termination tolerance on the function
>> value.
>> TolX: 1.0000e-004 #Termination tolerance on x.
>>
>> ***R's optim defaults (for Nelder-Mead)***
>> maxit=500
>> reltol=1e-8
>> alpha=1.0 #Reflection
>> beta=.5 #Contraction
>> gamma=2.0 #Expansion
>>
>>
>> Anthony J. Bishara
>> Post-Doctoral Fellow
>> Department of Psychological & Brain Sciences
>> Indiana University
>> 1101 E. Tenth St.
>> Bloomington, IN 47405
>> (812)856-4678
>>
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>
>
--
Michael Prager, Ph.D.
Southeast Fisheries Science Center
NOAA Center for Coastal Fisheries and Habitat Research
Beaufort, North Carolina 28516
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