Re: [R] L-BFGS-B needs finite values of 'fn'

From: Paul Smith <phhs80_at_gmail.com>
Date: Wed, 02 Apr 2008 18:56:41 +0100

But let me add the following: the part

of my function is a penalty. In truth, I want to maximize

sum((b^(0:(n-1)))*log(x))

s.t.

sum(x) = k.

Paul

On Wed, Apr 2, 2008 at 6:48 PM, Paul Smith <phhs80_at_gmail.com> wrote:
> Thanks, Ravi. The analytical solution, (x_1,x_2,...,x_10), should
> satisfy this equality:
>
> x_t / x_(t-1) = 0.3.

>
> Unfortunately, the procedure that you suggest does not lead to a
> solution that satisfies such an equality.

>
> Paul
>
>
>
>
>
> On Wed, Apr 2, 2008 at 5:12 PM, Ravi Varadhan <rvaradhan_at_jhmi.edu> wrote:
> > Paul,
> >
> > Have you tried using "BFGS" without bounds?
> >
> > sols <- optim(rep(20,nvar), f, gr, method="BFGS", control=list(fnscale=-1))
> >
> > This converges to a solution, although I don't know if the converged
> > solution is what you want.
> >
> > Ravi.
> >
> > ----------------------------------------------------------------------------
> > -------
> >
> > Ravi Varadhan, Ph.D.
> >
> > Assistant Professor, The Center on Aging and Health
> >
> > Division of Geriatric Medicine and Gerontology
> >
> > Johns Hopkins University
> >
> > Ph: (410) 502-2619
> >
> > Fax: (410) 614-9625
> >
> > Email: rvaradhan_at_jhmi.edu
> >
> > Webpage:
http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
> >
> >
> >
> > ----------------------------------------------------------------------------
> > --------
> >
> >
> >
> > -----Original Message-----
> > From: r-help-bounces_at_r-project.org [mailto:r-help-bounces_at_r-project.org] On
> > Behalf Of Paul Smith
> >
> > Sent: Monday, March 31, 2008 2:25 PM
> > To: R-help
> >
> >
> > Subject: Re: [R] L-BFGS-B needs finite values of 'fn'
> >
> > On Mon, Mar 31, 2008 at 2:57 PM, Zaihra T <zaihra_at_uwindsor.ca> wrote:
> > > try something like this before wrapping up your function else i guess
> > u'll
> > > have to stick to Prof Brian Ripley suggestion his suggestions are usually
> > > best bet .
> > >
> > > f <- function(x) {
> > >
> > > n <- length(x)
> > >
> > > r <- sum((b^(0:(n-1)))*log(x)) - 2000000*(sum(x)-k)^2
> > > if(!is.finite(r))
> > >
> > > r<-1e+20 return(r)
> > >
> > > }
> > >
> > > have a nice day.
> > >
> > >
> > >
> > >
> > > On Mon, 31 Mar 2008 12:24:09 +0100 "Paul Smith" wrote:
> > > > Dear All,
> > > >
> > > > I am trying to solve the optimization problem below, but I am always
> > > > getting the following error:
> > > >
> > > > Error in optim(rep(20, nvar), f, gr, method = "L-BFGS-B", lower = rep(0,
> > :
> > > > L-BFGS-B needs finite values of 'fn'
> > > >
> > > > Any ideas?
> > > >
> > > > Thanks in advance,
> > > >
> > > > Paul
> > > >
> > > > -----------------------------------------! ------
> > > >
> > > > k <- 10000
> > > > b <- 0.3
> > > >
> > > > f <- function(x) {
> > > >
> > > > n <- length(x)
> > > >
> > > > r <- sum((b^(0:(n-1)))*log(x)) - 2000000*(sum(x)-k)^2
> > > >
> > > > return(r)
> > > >
> > > > }
> > > >
> > > > gr <- function(x) {
> > > >
> > > > n <- length(x)
> > > >
> > > > r <- (b^(0:(n-1)))*(1/x) - 4000000*(sum(x)-k)
> > > >
> > > > return(r)
> > > >
> > > > }
> > > >
> > > > nvar <- 10
> > > > (sols <-
> > > >
> > >
> > optim(rep(20,nvar),f,gr,method="L-BFGS-B",lower=rep(0,nvar),upper=rep(k,nvar
> > ),control=list(fnscale=-1,parscale=rep(2000,nvar),factr=1e-300,pgtol=1e-300)
> > ))
> >
> > Not much progress, Zaihra. Unfortunately! I am wondering whether one
> > can transform the original problem into an equivalent one and solvable
> > with optim.
> >
> > I know the analytical solution; I am just trying to check how far can
> > R go regarding optimization problems.
> >
> > Paul
> >
> > ______________________________________________
> >
> > R-help_at_r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> >
> >
> > and provide commented, minimal, self-contained, reproducible code.
> >
>



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Wed 02 Apr 2008 - 17:59:59 GMT

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