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optextras (version 2013-10.27)

optextras-package: 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.

Arguments

Details

ll{ Package: optextras Version: 2012-6.18 Date: 2012-06-18 License: GPL-2 Lazyload: Yes Depends: numDeriv Suggests: BB, ucminf, Rcgmin, Rvmmin, minqa, setRNG, dfoptim Repository: R-Forge Repository/R-Forge/Project: optimizer }

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

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