
@Barry: Yes it is the Rosenbrock Function. I'm trying out some thing I found here: http://math.fullerton.edu/mathews/n2003/PowellMethodMod.html

@Ravi: Thanks for your help. I will have a closer look at the BB package. Am I right, that the optimx package is ofline atm? (Windows)


Michael


> From: rvaradhan@jhmi.edu
> To: b.rowlingson@lancaster.ac.uk; dethlef1@hotmail.com
> CC: r-help@r-project.org
> Subject: RE: [R] optimized value worse than starting Value
> Date: Wed, 8 Sep 2010 12:09:31 -0400
> 
> "Numerical optimisations are best done using as many methods as possible"
> 
> See the "optimx" package:
> 
> http://cran.r-project.org/web/packages/optimx/index.html
> 
> Ravi.
> 
> -----Original Message-----
> From: r-help-bounces@r-project.org [mailto:r-help-bounces@r-project.org] On
> Behalf Of Barry Rowlingson
> Sent: Wednesday, September 08, 2010 10:27 AM
> To: Michael Bernsteiner
> Cc: r-help@r-project.org
> Subject: Re: [R] optimized value worse than starting Value
> 
> On Wed, Sep 8, 2010 at 1:35 PM, Michael Bernsteiner
> <dethlef1@hotmail.com> wrote:
> >
> > Dear all,
> >
> > I'm optimizing a relatively simple function. Using optimize the optimized
> parameter value is worse than the starting.
> > why?
> >
> > f<-function(delta,P,U){
> >    minimiz<-P+delta*U
> >    x<-minimiz[1]
> >    y<-minimiz[2]
> >    z<-100*(y-x^2)^2+(1-x)^2
> >    return(z)
> > }
> 
>  This looks familiar. Is this some 1-d version of the Rosenbrock
> Banana Function?
> 
>  http://en.wikipedia.org/wiki/Rosenbrock_function
> 
>  It's designed to be hard to find the minimum. In the real world one
> would hope that things would not have such a pathological behaviour.
> 
>  Numerical optimisations are best done using as many methods as
> possible - see optimise, nlm, optim, nlminb and the whole shelf of
> library books devoted to it.
> 
> Barry
> 
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