[R] nonlinear least squares fitting Trust-Region"

[Prof Brian Ripley]

I believe people (including me) did not reply because you appeared not to 
have done your homework.  The help page for ?nls _does_ have a reference 
to the 'port' documentation, and RSiteSearch("trust region") is 
informative and leads to an R package that does trust-region optimization.  
(So would looking in the R FAQ.)

You say:

> Since I am not an expert in the field of optimization, I am just 
> conforming to what matlab documentation

Please note that some of the R developers are really expert in that area, 
and their advice (in the R documentation) should be taken as seriously as 
that in some commercial package that is merely commenting about the very 
sparse choice it offers.  Or if R is not in your personal trust region, 
just use 'matlab'.

Please

1) do not shout at your helpers: using all caps is regarded as shouting.

2) study and follow the posting guide.  People are much more likely to 
help you if you demonstrate you have made efforts to help yourself.

3) read the literature.  The R FAQ leads to books that cover fitting 
non-linear models in S/R in considerable detail.


On Sat, 2 Sep 2006, Martin Ivanov wrote:

> Dear Mr Graves,

> Thank you very much for your response. Nobody else from this mailing 
> list ventured to reply to me for the two weeks since I posted my 
> question. "nlminb" and "optim" are just optimization procedures. What I 
> need is not just optimization, but a nonlinear CURVE FITTING procedure.

Which is just optimization: usually by least squares (although you have 
not actually specified that and there are better modern statistical 
ideas).
 
> If there is some way to perform nonlinear curve fitting with the 
> "Trust-Region" algorithm using any of these functions, I would me much 
> obliged to you if you suggest to me how to achieve that. You asked me 
> why I do not want Gauss-Newton. Since I am not an expert in the field of 
> optimization, I am just conforming to what matlab documentation 
> suggests, namely: "Algorithm used for the fitting procedure: 
> Trust-Region -- This is the default algorithm and must be used if you 
> specify coefficient constraints. Levenberg-Marquardt -- If the 
> trust-region algorithm does not produce a reasonable fit, and you do not 
> have coefficient constraints, you should try the Levenberg-Marquardt 
> algorithm. Gauss-Newton --THIS ALGORITHM IS POTENTIALLY FASTER THAN THE 
> OTHER ALGORITHMS, BUT IT ASSUMES THAT THE RESIDUALS ARE CLOSE TO ZERO. 
> IT IS INCLUDED FOR PEDAGOGICAL REASONS AND SHOULD BE THE LAST CHOICE FOR 
> MOST MODELS AND DATA SETS. I browsed some literature about the garchfit 
> function, but I did not see the "Trust-Region" algorithm there either: 
> algorithm = c("sqp", "nlminb", "lbfgsb", "nlminb+nm", "lbfgsb+nm"), 
> control = list(), title = NULL, description = NULL, ...)
> 
> Thank you for your attention. I am looking forward to your reply.
> Regards,
> Martin
> 
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-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595