[R] constrOptim with method SANN

[Thomas Lumley]

On Fri, 18 Jan 2008, Jonas Rumpf wrote:

> Hi Everyone,
>
> I'm trying to minimize a function using constrOptim with
> the simulated annealing method SANN.
>
> If I understand constrOptim well, it basically passes most
> of its arguments to optim while somehow enforcing the constraints.
>
> My problem is, that since SANN does not need gradients,
> when using optim with SANN, the gr argument of optim is
> used to specify a function to create the next candidate point
> for the annealing algorithm. If it is left NULL, a default Gaussian
> Markov kernel is used - which is fine for my purposes.
>

SANN doesn't need gradients, but constrOptim does, and if you have the sort of function for which simulated annealing is useful it is unlikely to be the sort of function where the adaptive log-barrier method works well.

     -thomas

Thomas Lumley			Assoc. Professor, Biostatistics
tlumley at u.washington.edu	University of Washington, Seattle