[R] Question about output from optim

[Ben Bolker]

Sébastien Bihorel <pomchip <at> free.fr> writes:

> 
> Dear R-users,
> 
> I am trying to port to R something that I wrote in Matlab to perform model
> parameter optimization using the Nelder-Mead simplex method (fminsearch). I
> read the help on ?optim (which seems to be the way to go) as well as a bunch
> of posts on the topic, but I would like to make sure about something before
> I spend to much time trying to reproduce something that is not possible. The
> Matlab fminsearch has some nice features allowing the user to pass the
> optimization status (i.e., iteration number, objective function value,
> parameter estimate, algorithm porcedure,etc...) at each iteration to a
> custom function. In turn, this allows to save the data to file or print
> something to the shell.
> 
> Did anybody manage to get optim similarly output the optimization status at
> each iteration to a function?
> 
> The control=(trace=...) argument seems only to return partial data to the
> shell. Some post on the list also suggested to include some code inside the
> objective function, but this implies the execution of the code at each
> function evaluation rather than at each iteration.
> 
> Any feedback on the topic would be appreciated.
> 
> Sebastien
> 


  I think that what you see is more or less what you get with optim()
in this case. As I've mentioned in an earlier thread, I've translated
Nelder-Mead from _Numerical Recipes_ code into R, which would allow
you to instrument it however you wanted.  (Indeed, I translated it in
order to allow me to create a picture of N-M updating that showed
which points were being visited and which updating rules executed.)
I could send it if you wanted.  The output-function hook is a nice
idea, though -- might be worth mentioning to John Nash, who is working
on a project (optimx on R-forge) to extend R's optimization capabilities.