stogo

0th

Percentile

Stochastic Global Optimization

StoGO is a global optimization algorithm that works by systematically dividing the search space into smaller hyper-rectangles.

Usage
stogo(x0, fn, gr = NULL, lower = NULL, upper = NULL, maxeval = 10000,
  xtol_rel = 1e-06, randomized = FALSE, nl.info = FALSE, ...)
Arguments
x0

initial point for searching the optimum.

fn

objective function that is to be minimized.

gr

optional gradient of the objective function.

lower, upper

lower and upper bound constraints.

maxeval

maximum number of function evaluations.

xtol_rel

stopping criterion for relative change reached.

randomized

logical; shall a randomizing variant be used?

nl.info

logical; shall the original NLopt info been shown.

...

additional arguments passed to the function.

Details

StoGO is a global optimization algorithm that works by systematically dividing the search space (which must be bound-constrained) into smaller hyper-rectangles via a branch-and-bound technique, and searching them by a gradient-based local-search algorithm (a BFGS variant), optionally including some randomness.

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.

Note

Only bound-constrained problems are supported by this algorithm.

References

S. Zertchaninov and K. Madsen, ``A C++ Programme for Global Optimization,'' IMM-REP-1998-04, Department of Mathematical Modelling, Technical University of Denmark.

Aliases
  • stogo
Examples
# NOT RUN {
### Rosenbrock Banana objective function
fn <- function(x)
    return( 100 * (x[2] - x[1] * x[1])^2 + (1 - x[1])^2 )

x0 <- c( -1.2, 1 )
lb <- c( -3, -3 )
ub <- c(  3,  3 )

stogo(x0 = x0, fn = fn, lower = lb, upper = ub)

# }
Documentation reproduced from package nloptr, version 1.2.1, License: LGPL-3

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