[R] L-BFGS-B needs finite values of 'fn'
Paul Smith
phhs80 at gmail.com
Wed Apr 2 19:48:47 CEST 2008
Thanks, Ravi. The analytical solution, (x_1,x_2,...,x_10), should
satisfy this equality:
x_t / x_(t-1) = 0.3.
Unfortunately, the procedure that you suggest does not lead to a
solution that satisfies such an equality.
Paul
On Wed, Apr 2, 2008 at 5:12 PM, Ravi Varadhan <rvaradhan at jhmi.edu> wrote:
> Paul,
>
> Have you tried using "BFGS" without bounds?
>
> sols <- optim(rep(20,nvar), f, gr, method="BFGS", control=list(fnscale=-1))
>
> This converges to a solution, although I don't know if the converged
> solution is what you want.
>
> Ravi.
>
> ----------------------------------------------------------------------------
> -------
>
> Ravi Varadhan, Ph.D.
>
> Assistant Professor, The Center on Aging and Health
>
> Division of Geriatric Medicine and Gerontology
>
> Johns Hopkins University
>
> Ph: (410) 502-2619
>
> Fax: (410) 614-9625
>
> Email: rvaradhan at jhmi.edu
>
> Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
>
>
>
> ----------------------------------------------------------------------------
> --------
>
>
>
> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
> Behalf Of Paul Smith
>
> Sent: Monday, March 31, 2008 2:25 PM
> To: R-help
>
>
> Subject: Re: [R] L-BFGS-B needs finite values of 'fn'
>
> On Mon, Mar 31, 2008 at 2:57 PM, Zaihra T <zaihra at uwindsor.ca> wrote:
> > try something like this before wrapping up your function else i guess
> u'll
> > have to stick to Prof Brian Ripley suggestion his suggestions are usually
> > best bet .
> >
> > f <- function(x) {
> >
> > n <- length(x)
> >
> > r <- sum((b^(0:(n-1)))*log(x)) - 2000000*(sum(x)-k)^2
> > if(!is.finite(r))
> >
> > r<-1e+20 return(r)
> >
> > }
> >
> > have a nice day.
> >
> >
> >
> >
> > On Mon, 31 Mar 2008 12:24:09 +0100 "Paul Smith" wrote:
> > > Dear All,
> > >
> > > I am trying to solve the optimization problem below, but I am always
> > > getting the following error:
> > >
> > > Error in optim(rep(20, nvar), f, gr, method = "L-BFGS-B", lower = rep(0,
> :
> > > L-BFGS-B needs finite values of 'fn'
> > >
> > > Any ideas?
> > >
> > > Thanks in advance,
> > >
> > > Paul
> > >
> > > -----------------------------------------! ------
> > >
> > > k <- 10000
> > > b <- 0.3
> > >
> > > f <- function(x) {
> > >
> > > n <- length(x)
> > >
> > > r <- sum((b^(0:(n-1)))*log(x)) - 2000000*(sum(x)-k)^2
> > >
> > > return(r)
> > >
> > > }
> > >
> > > gr <- function(x) {
> > >
> > > n <- length(x)
> > >
> > > r <- (b^(0:(n-1)))*(1/x) - 4000000*(sum(x)-k)
> > >
> > > return(r)
> > >
> > > }
> > >
> > > nvar <- 10
> > > (sols <-
> > >
> >
> optim(rep(20,nvar),f,gr,method="L-BFGS-B",lower=rep(0,nvar),upper=rep(k,nvar
> ),control=list(fnscale=-1,parscale=rep(2000,nvar),factr=1e-300,pgtol=1e-300)
> ))
>
> Not much progress, Zaihra. Unfortunately! I am wondering whether one
> can transform the original problem into an equivalent one and solvable
> with optim.
>
> I know the analytical solution; I am just trying to check how far can
> R go regarding optimization problems.
>
> Paul
>
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