[R] constrOptim with method SANN

[Jonas Rumpf]

Hi,

thank you for your help, Thomas,
(and my apologies to everyone for the double-post earlier),
however I'm not sure if I understand you correctly:

Are you basically saying that it doesn't really make sense
to use SANN with constrOptim and I should use another
algorithm (like CG etc.) ?

Best regards,
Jonas

> 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
>
>