A replacement and extension of the optim() function, plus various optimization tools

Description

Provides a replacement and extension of the optim() function to unify and streamline optimization capabilities in R for smooth, possibly box constrained functions of several or many parameters

The three functions ufn, ugr and uhess wrap corresponding user functions fn, gr, and hess so that these functions can be executed safely (via try()) and also so parameter or function scaling can be applied. The wrapper functions also allow for maximization of functions (via minimization of the negative of the function) using the logical parameter maximize.

There are three test functions, fnchk, grchk, and hesschk, to allow the user function to be tested for validity and correctness. However, no set of tests is exhaustive, and extensions and improvements are welcome. The package numDeriv is used for generation of numerical approximations to derivatives.

Details

Index:

axsearch     Perform an axial search optimality check
bmchk        Check bounds and masks for parameter constraints
bmstep       Compute the maximum step along a search direction.
fnchk        Test validity of user function
gHgen        Compute gradient and Hessian as a given 
             set of parameters
gHgenb       Compute gradient and Hessian as a given 
             set of parameters appying bounds and masks
grback       Backward numerical gradient approximation
grcentral    Central numerical gradient approximation
grchk        Check that gradient function evaluation 
             matches numerical gradient
grfwd        Forward numerical gradient approximation
grnd         Gradient approximation using \code{numDeriv}
hesschk      Check that Hessian function evaluation 
             matches numerical approximation
kktc         Check the Karush-Kuhn-Tucker optimality conditions
scalecheck   Check scale of initial parameters and bounds
ufn          Wrapper for user objective function
ugr          Wrapper for user gradient function
ugHgenb      Compute gradient and Hessian as a given 
             set of parameters appying bounds and masks
             but using the opx12env list of fn, gr, and 
             hess. Note FIXED name opx12env
uhess        Wrapper for user Hessian function

Author(s)

John C Nash <nashjc@uottawa.ca> and Ravi Varadhan <RVaradhan@jhmi.edu>

Maintainer: John C Nash <nashjc@uottawa.ca>

References

Nash, John C. and Varadhan, Ravi (2011) Unifying Optimization Algorithms to Aid Software System Users: optimx for R, Journal of Statistical Software, publication pending.

See Also

optim