[R] optim and optimize are not finding the right parameter

[Dimitri Liakhovitski]

Thank you, Ravi - definitely better!

On Wed, Mar 30, 2011 at 2:06 PM, Ravi Varadhan <rvaradhan at jhmi.edu> wrote:
> Try this:
>
> pred <- pred/1e06
>
> DV <- DV/1e03
>
> opt1 <- optim(fn=my.function, par=1.0)
> opt2 <- optim(fn=my.function, par=1.0, method="BFGS")
> opt3 <- optim(fn=my.function, par=1.0, method="L-BFGS-B", lower=0, upper=1)
> opt1
> opt2
> opt3
>
> Ravi.
>
> -------------------------------------------------------
> Ravi Varadhan, Ph.D.
> Assistant Professor,
> Division of Geriatric Medicine and Gerontology School of Medicine Johns
> Hopkins University
>
> Ph. (410) 502-2619
> email: rvaradhan at jhmi.edu
>
> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
> Behalf Of Dimitri Liakhovitski
> Sent: Wednesday, March 30, 2011 12:45 PM
> To: r-help
> Subject: [R] optim and optimize are not finding the right parameter
>
> Dear all,
>
> I have a function that predicts DV based on one predictor pred:
>
> pred<-c(0,3000000,7800000,15600000,23400000,131200000)
> DV<-c(0,500,1000,1400,1700,1900)
>
> ## I define Function 1 that computes the predicted value based on pred
> values and parameters a and b:
> calc_DV_pred <- function(a,b) {
>  DV_pred <- rep(0,(length(pred)))
>  for(i in 1:length(DV_pred)){
>   DV_pred[i] <- a * (1- exp( (0-b)*pred[i] ))
>  }
>  return(DV_pred)
> }
>
> ## I define Function 2 that computes the sum of squared deviations for
> predicted DV from actual DV:
> my.function <- function(param){
>  b<-param
>  a<-max(DV)
>  mysum <- sum((DV - calc_DV_pred(a,b))^2)
>  return(mysum)
> }
>
> If I test my function for parameter b =0.0000001, then I get a very good
> fit:
> pred<-c(0,3000000,7800000,15600000,23400000,131200000)
> DV<-c(0,500,1000,1400,1700,1900)
> test<-my.function(0.0000001)
> (test) # I get 11,336.81
>
> However, when I try to optimize my.function with optim - trying to
> find the value of b that minimizes the output of my.function - I get a
> wrong solution:
> opt1 <- optim(fn=my.function,par=c(b=0.00000001),
>     method="L-BFGS-B", lower=0,upper=1)
> (opt1)
> test2<-my.function(opt1$par) # is much larger than the value of "test"
> above.
>
> # And getting the same - wrong - result with optimize:
> opt2 <- optimize(f=my.function,interval=c(0,0.1))
> test3<-my.function(opt2$minimum)
>
> What am I doing wrong? Thanks a lot for your recomendations!
>
> --
> Dimitri Liakhovitski
> Ninah Consulting
> www.ninah.com
>
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> and provide commented, minimal, self-contained, reproducible code.
>
>



-- 
Dimitri Liakhovitski
Ninah Consulting
www.ninah.com