cleversearch: Optimization over a parameter grid

Description

This function allows greedy/full grid search in any dimension.

Usage

cleversearch(fn, lower, upper, ngrid, startvalue, logscale = TRUE, clever = TRUE, verbose = FALSE)

Arguments

a function to be minimized (or maximized), with the only argument being the parameter over which minimization is to take place. The return value must be scalar.

lower

numeric vector containing the lower bounds on the parameter grid

upper

numeric vector containing the upper bounds on the parameter grid

ngrid

integer number determining the grid length in every dimension

startvalue

optional initial value for the parameter to be optimized over

logscale

logical, whether to construct the grid on logarithmic scale

clever

logical, whether to perform a greedy grid search with lookup-table or a full grid evaluation. The latter is only available up to 3d.

verbose

logical. Should the search process be monitored?

Value

par: optimal parameter value that was found.
value: fn value corresponding to par.
counts: number of calls to 'fn'.

Details

Unless startvalue is specified, the search starts at the lower bound of the 1d parameter space or at the middle of the 2d/3d grid.

Examples

Run this code

simplefun <- function(vec) { return(sum(vec^2)) }
opt <- cleversearch(simplefun, c(-1, -1), c(1, 1), 51, logscale=FALSE)