nlr (version 0.1-3)

optim.NM: NM optimization

Description

Nelder-Mead derivative free optimization. Since it is derivative free have slow convergence.

Usage

optim.NM(objfnc, data, start = getInitial(objfnc, data), delta = NULL,deltar=.1, 
control=nlr.control(tolerance=1e-4, 
maxiter=250 * length(start)), ...)

Arguments

objfnc

any objective function for minimizing, it must contains accept formula, data and start as argument, extra argument can be passed by (...). The output of objfnc must be a list contains: $value(attr,gradient,hessian), $angmat (angular matrix),$angvec (angular vector) to check convergence. Usually it might have nl.form object as entry.

data

list of the data, that might have predictor and response variables with names.

deltar

=0.1. Ratio of delta value. "nlr" compute the increament interval of golden section by start +- delta, the delta by default computed by deltar*start. The user can give direct value for deltar or value of delta to be unequally ratio movement.

start

list of initial values with names as parameters.

delta

vector with same size of parameters named as parameter names, is increament for each parameter at the begining. Each parameter will be moved by delta.

control

nlr.control options to control the optimization iterations.

…

any external parameters passe to objfnc.

Value

result is a list of:

parameters

list of estimated parameters wit hsame names as start

objfnc

computed object function returned back by objfnc

history

history of fitt, include parameters and objective values, other level of iteration is presented for which in each iteration some more steps is done to rectify the singularity of hessian.

Details

Optimize objective function objfnc with respect to parameters start. The mothod is derivative free using Nelder-Mead method.

The function smptry Find next minimum point in Nelder-Mead algorithm. It used for internal usage might not be called by user directly.

References

Rizo ML 2008 Statistical Computing with R The R Series. Chapman & Hall/CRC The R Series.

See Also

nlr.control, nl.form, optim.NLM

Examples

# NOT RUN {
##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
"optim.NM"
# }