Re: [R] scaling problems in "optim"

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Sun, 23 Mar 2008 10:05:58 -0700

ALL:       Can anyone explain why optim returns c(0.75, 2) for what I think should be the maximum of a bivariate normal density with mean = 1:2?

KATHIE:       Apart from 'optim' giving an answer I don't understand, the following should illustrate the use of 'fnscale' and 'parscale' -- while perhaps illustrating the need to use these parameters.

      Hope this helps. 
      Spencer Graves

library(mvtnorm)
(mle2 <- optim(rep(0, 2), dmvnorm, method='CG',

               control=list(fnscale=-10, parscale=c(.3, 3), trace=9),
              mean=1:2, hessian=TRUE, log=TRUE))
  Conjugate gradients function minimizer Method: Fletcher Reeves
tolerance used in gradient test=3.63798e-12 0 1 0.433788
parameters 0.00000 0.00000
 i> 1 3 0.234892
parameters 0.03000 0.60000

<snip>

i> 100 201 0.187167
parameters 2.46674 0.66667
$par
[1] 0.7352784 2.0000004 # = approximately c(2.46674, 0.66667) * parscale

$value
[1] -1.871671 # = 0.187167 * fnscale

$counts
function gradient

     201 101

$convergence
[1] 1

$message
NULL $hessian

             [,1] [,2]
[1,] -1.00000e+00 -9.94586e-11
[2,] -9.94586e-11 -1.00000e+00

# Checks:
 > dmvnorm(c( 0.7352784, 2.0000004), mean=1:2, log=TRUE) [1] -1.872916
 > dmvnorm(1:2, mean=1:2, log=TRUE)
[1] -1.837877  

kathie wrote:
> Dear R users,

>

> I am trying to figure out the control parameter in "optim," especially,
> "fnscale" and "parscale."
>

> In the R docu.,
>

> ------------------------------------------------------
> fnscale
>

> An overall scaling to be applied to the value of fn and gr during
> optimization. If negative, turns the problem into a maximization problem.
> Optimization is performed on fn(par)/fnscale.
>

> parscale
>

> A vector of scaling values for the parameters. Optimization is performed
> on par/parscale and these should be comparable in the sense that a unit
> change in any element produces about a unit change in the scaled value.
> ------------------------------------------------------
>

> I cannot understand these two statements.
>

> "Optimization is performed on fn(par)/fnscale." and
>

> "Optimization is performed on par/parscale and these should be comparable in
> the sense that a unit change in any element produces about a unit change in
> the scaled value."
>

> Would you please explain these things?
>

> Thank you in advance.
>

> Kathryn Lord
>
>
>
>
>

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