nloptr (version 1.0.0)

bobyqa: Bound Optimization by Quadratic Approximation

Description

BOBYQA performs derivative-free bound-constrained optimization using an iteratively constructed quadratic approximation for the objective function.

Usage

bobyqa(x0, fn, lower = NULL, upper = NULL,
        nl.info = FALSE, control = list(), ...)

Arguments

x0

starting point for searching the optimum.

fn

objective function that is to be minimized.

lower, upper

lower and upper bound constraints.

nl.info

logical; shall the original NLopt info been shown.

control

list of options, see nl.opts for help.

...

additional arguments passed to the function.

Value

• List with components:
• par
  the optimal solution found so far.
• value
  the function value corresponding to par.
• iter
  number of (outer) iterations, see maxeval.
• convergence
  integer code indicating successful completion (> 0) or a possible error number (< 0).
• message
  character string produced by NLopt and giving additional information.

Details

This is an algorithm derived from the BOBYQA Fortran subroutine of Powell, converted to C and modified for the NLOPT stopping criteria.

References

M. J. D. Powell. ``The BOBYQA algorithm for bound constrained optimization without derivatives,'' Department of Applied Mathematics and Theoretical Physics, Cambridge England, technical reportNA2009/06 (2009).

See Also

cobyla, newuoa

Examples

fr <- function(x) {   ## Rosenbrock Banana function
    100 * (x[2] - x[1]^2)^2 + (1 - x[1])^2
}
(S <- bobyqa(c(0, 0, 0), fr, lower = c(0, 0, 0), upper = c(0.5, 0.5, 0.5)))