maxLik (version 1.3-0)

MaxControl-class: Class "MaxControl"

Description

This is the structure that holds the optimization control options. The corresponding constructors take the parameters, perform consistency checks, and return the control structure. Alternatively, it overwrites the supplied parameters in an existing MaxControl structure. There is also a method to extract the control structure from the estimated maxim-objects.

Details

Typically, the control options are supplied in the form of a list, in which case the corresponding default values are overwritten by the user-specified ones. However, one may also create the control structure by maxControl(opt1=value1, opt2=value2, ...) and supply such value directly to the optimizer. In this case the optimization routine takes all the values from the control object.

References

• Nelder, J. A. & Mead, R. A (1965) Simplex Method for Function MinimizationThe Computer Journal7, 308--313
• Marquardt, D. W. (1963) An Algorithm for Least-Squares Estimation of Nonlinear ParametersJournal of the Society for Industrial and Applied Mathematics11, 431--441

Examples

## Optimize quadratic form t(D) %*% W %*% D with p.d. weight matrix,
## s.t. constraints sum(D) = 1
quadForm <- function(D) {
   return(-t(D) %*% W %*% D)
}
eps <- 0.1
W <- diag(3) + matrix(runif(9), 3, 3)*eps
D <- rep(1/3, 3)
                        # initial values
library(maxLik)
## create control object and use it for optimization
co <- maxControl(printLevel=2, qac="marquardt", marquardt_lambda0=1)
res <- maxNR(quadForm, start=D, control=co)
print(summary(res))
## Now perform the same with no trace information
co <- maxControl(co, printLevel=0)
res <- maxNR(quadForm, start=D, control=co) # no tracing information
print(summary(res))  # should be the same as above
maxControl(res) # shows the control structure