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

From: Ravi Varadhan <rvaradhan_at_jhmi.edu>
Date: Wed, 02 Apr 2008 14:03:11 -0400

Yes, that is very important. If you look at the ratios x[k]/x[k-1], they are very close to 0.3 for the first few components, and then they start slowly diverging (ratio becomes smaller than 0.3) from that.

So, optim is indeed finding a correct solution to the problem that you "actually" posed. You could increase your penalty to get a solution that is closer to the analytical solution you are expecting.

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: Wednesday, April 02, 2008 1:57 PM
To: R-help
Subject: Re: [R] L-BFGS-B needs finite values of 'fn'

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@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.
> >

>

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.

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. Received on Wed 02 Apr 2008 - 18:12:43 GMT

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