[R] Testing optimization solvers with equality constraints
Abby Spurdle
@purd|e@@ @end|ng |rom gm@||@com
Tue May 25 04:47:48 CEST 2021
I received an off-list email, questioning the relevance of my post.
So, I thought I should clarify.
If an optimization algorithm is dependent on the starting point (or
other user-selected parameters), and then fails to find the "correct"
solution because the starting point (or other user-selected
parameters) are unsuitable, then that, in itself, does not indicate a
problem with the algorithm.
In other words, the R's packages listed in this thread appear to be
working fine.
(Or at least, there's no clear counter-evidence against).
One solution is to project the surface (here, equality constraints) on
to lower dimensions, as already suggested.
Another much simpler solution, is to use two algorithms, where one
selects one or more starting points.
(These could be the solution to an initial optimization, or chosen at
random, or a combination of both).
Both of these approaches generalize to a broader set of problems.
And I assume that there are other (possibly much better) approaches.
However, that's an off-list discussion...
All and all, I would say R has extremely good numerical capabilities.
Which are even more useful still, with the use of well chosen
mathematical and statistical graphics.
On Sun, May 23, 2021 at 5:25 PM Abby Spurdle <spurdle.a using gmail.com> wrote:
>
> For a start, there's two local minima.
>
> Add to that floating point errors.
> And possible assumptions by the package authors.
>
> ----begin code----
> f <- function (x, y, sign)
> { unsign.z <- sqrt (1 - x^2 - y^2)
> 2 * (x^2 - sign * y * unsign.z)
> }
>
> north.f <- function (x, y) f (x, y, +1)
> south.f <- function (x, y) f (x, y, -1)
>
> N <- 100
> p0 <- par (mfrow = c (1, 2) )
> plotf_cfield (north.f, c (-1.1, 1.1),
> main="north",
> ncontours=10, n=N, raster=TRUE, hcv=TRUE)
> plotf_cfield (south.f, c (-1.1, 1.1),
> main="south",
> ncontours=10, n=N, raster=TRUE, hcv=TRUE)
> par (p0)
> ----end code ----
>
> Please ignore R warnings.
> I'm planning to reinvent this package soon.
> And also, it wasn't designed for circular heatmaps.
>
>
> On Sat, May 22, 2021 at 8:02 PM Hans W <hwborchers using gmail.com> wrote:
> >
> > Yes. "*on* the unit sphere" means on the surface, as you can guess
> > from the equality constraint. And 'auglag()' does find the minimum, so
> > no need for a special approach.
> >
> > I was/am interested in why all these other good solvers get stuck,
> > i.e., do not move away from the starting point. And how to avoid this
> > in general, not only for this specific example.
> >
> >
> > On Sat, 22 May 2021 at 09:44, Abby Spurdle <spurdle.a using gmail.com> wrote:
> > >
> > > Sorry, this might sound like a poor question:
> > > But by "on the unit sphere", do you mean on the ***surface*** of the sphere?
> > > In which case, can't the surface of a sphere be projected onto a pair
> > > of circles?
> > > Where the cost function is reformulated as a function of two (rather
> > > than three) variables.
> > >
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