optim: General-purpose Optimization

Description

General-purpose optimization based on Nelder--Mead, quasi-Newton and conjugate-gradient algorithms. It includes an option for box-constrained optimization and simulated annealing.

Usage

optim(par, fn, gr = NULL, …,
      method = c("Nelder-Mead", "BFGS", "CG", "L-BFGS-B", "SANN",
                 "Brent"),
      lower = -Inf, upper = Inf,
      control = list(), hessian = FALSE)
optimHess(par, fn, gr = NULL, …, control = list())

Arguments

par

Initial values for the parameters to be optimized over.

A function to be minimized (or maximized), with first argument the vector of parameters over which minimization is to take place. It should return a scalar result.

A function to return the gradient for the "BFGS", "CG" and "L-BFGS-B" methods. If it is NULL, a finite-difference approximation will be used.

For the "SANN" method it specifies a function to generate a new candidate point. If it is NULL a default Gaussian Markov kernel is used.

…

Further arguments to be passed to fn and gr.

method

The method to be used. See ‘Details’. Can be abbreviated.

lower, upper

Bounds on the variables for the "L-BFGS-B" method, or bounds in which to search for method "Brent".

control

A list of control parameters. See ‘Details’.

hessian

Logical. Should a numerically differentiated Hessian matrix be returned?

Value

For optim, a list with components:

par

The best set of parameters found.

value

The value of fn corresponding to par.

counts

A two-element integer vector giving the number of calls to fn and gr respectively. This excludes those calls needed to compute the Hessian, if requested, and any calls to fn to compute a finite-difference approximation to the gradient.

convergence

An integer code. 0 indicates successful completion (which is always the case for "SANN" and "Brent"). Possible error codes are

1: indicates that the iteration limit maxit had been reached.
10: indicates degeneracy of the Nelder--Mead simplex.
51: indicates a warning from the "L-BFGS-B" method; see component message for further details.
52: indicates an error from the "L-BFGS-B" method; see component message for further details.

message

A character string giving any additional information returned by the optimizer, or NULL.

hessian

Only if argument hessian is true. A symmetric matrix giving an estimate of the Hessian at the solution found. Note that this is the Hessian of the unconstrained problem even if the box constraints are active.

For optimHess, the description of the hessian component applies.

Details

Note that arguments after … must be matched exactly. By default optim performs minimization, but it will maximize if control$fnscale is negative. optimHess is an auxiliary function to compute the Hessian at a later stage if hessian = TRUE was forgotten. The default method is an implementation of that of Nelder and Mead (1965), that uses only function values and is robust but relatively slow. It will work reasonably well for non-differentiable functions. Method "BFGS" is a quasi-Newton method (also known as a variable metric algorithm), specifically that published simultaneously in 1970 by Broyden, Fletcher, Goldfarb and Shanno. This uses function values and gradients to build up a picture of the surface to be optimized. Method "CG" is a conjugate gradients method based on that by Fletcher and Reeves (1964) (but with the option of Polak--Ribiere or Beale--Sorenson updates). Conjugate gradient methods will generally be more fragile than the BFGS method, but as they do not store a matrix they may be successful in much larger optimization problems. Method "L-BFGS-B" is that of Byrd et. al. (1995) which allows box constraints, that is each variable can be given a lower and/or upper bound. The initial value must satisfy the constraints. This uses a limited-memory modification of the BFGS quasi-Newton method. If non-trivial bounds are supplied, this method will be selected, with a warning. Nocedal and Wright (1999) is a comprehensive reference for the previous three methods. Method "SANN" is by default a variant of simulated annealing given in Belisle (1992). Simulated-annealing belongs to the class of stochastic global optimization methods. It uses only function values but is relatively slow. It will also work for non-differentiable functions. This implementation uses the Metropolis function for the acceptance probability. By default the next candidate point is generated from a Gaussian Markov kernel with scale proportional to the actual temperature. If a function to generate a new candidate point is given, method "SANN" can also be used to solve combinatorial optimization problems. Temperatures are decreased according to the logarithmic cooling schedule as given in Belisle (1992, p. 890); specifically, the temperature is set to temp / log(((t-1) %/% tmax)*tmax + exp(1)), where t is the current iteration step and temp and tmax are specifiable via control, see below. Note that the "SANN" method depends critically on the settings of the control parameters. It is not a general-purpose method but can be very useful in getting to a good value on a very rough surface. Method "Brent" is for one-dimensional problems only, using optimize(). It can be useful in cases where optim() is used inside other functions where only method can be specified, such as in mle from package stats4. Function fn can return NA or Inf if the function cannot be evaluated at the supplied value, but the initial value must have a computable finite value of fn. (Except for method "L-BFGS-B" where the values should always be finite.) optim can be used recursively, and for a single parameter as well as many. It also accepts a zero-length par, and just evaluates the function with that argument. The control argument is a list that can supply any of the following components:

trace: Non-negative integer. If positive, tracing information on the progress of the optimization is produced. Higher values may produce more tracing information: for method "L-BFGS-B" there are six levels of tracing. (To understand exactly what these do see the source code: higher levels give more detail.)
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. Not used (nor needed) for method = "Brent".
ndeps: A vector of step sizes for the finite-difference approximation to the gradient, on par/parscale scale. Defaults to 1e-3.
maxit: The maximum number of iterations. Defaults to 100 for the derivative-based methods, and 500 for "Nelder-Mead". For "SANN" maxit gives the total number of function evaluations: there is no other stopping criterion. Defaults to 10000.
abstol: The absolute convergence tolerance. Only useful for non-negative functions, as a tolerance for reaching zero.
reltol: Relative convergence tolerance. The algorithm stops if it is unable to reduce the value by a factor of reltol * (abs(val) + reltol) at a step. Defaults to sqrt(.Machine$double.eps), typically about 1e-8.
alpha, beta, gamma: Scaling parameters for the "Nelder-Mead" method. alpha is the reflection factor (default 1.0), beta the contraction factor (0.5) and gamma the expansion factor (2.0).
REPORT: The frequency of reports for the "BFGS", "L-BFGS-B" and "SANN" methods if control$trace is positive. Defaults to every 10 iterations for "BFGS" and "L-BFGS-B", or every 100 temperatures for "SANN".
type: for the conjugate-gradients method. Takes value 1 for the Fletcher--Reeves update, 2 for Polak--Ribiere and 3 for Beale--Sorenson.
lmm: is an integer giving the number of BFGS updates retained in the "L-BFGS-B" method, It defaults to 5.
factr: controls the convergence of the "L-BFGS-B" method. Convergence occurs when the reduction in the objective is within this factor of the machine tolerance. Default is 1e7, that is a tolerance of about 1e-8.
pgtol: helps control the convergence of the "L-BFGS-B" method. It is a tolerance on the projected gradient in the current search direction. This defaults to zero, when the check is suppressed.
temp: controls the "SANN" method. It is the starting temperature for the cooling schedule. Defaults to 10.
tmax: is the number of function evaluations at each temperature for the "SANN" method. Defaults to 10.

Any names given to par will be copied to the vectors passed to fn and gr. Note that no other attributes of par are copied over. The parameter vector passed to fn has special semantics and may be shared between calls: the function should not change or copy it.

References

Belisle, C. J. P. (1992) Convergence theorems for a class of simulated annealing algorithms on $R^d$. J. Applied Probability, 29, 885--895. Byrd, R. H., Lu, P., Nocedal, J. and Zhu, C. (1995) A limited memory algorithm for bound constrained optimization. SIAM J. Scientific Computing, 16, 1190--1208. Fletcher, R. and Reeves, C. M. (1964) Function minimization by conjugate gradients. Computer Journal 7, 148--154. Nash, J. C. (1990) Compact Numerical Methods for Computers. Linear Algebra and Function Minimisation. Adam Hilger. Nelder, J. A. and Mead, R. (1965) A simplex algorithm for function minimization. Computer Journal 7, 308--313. Nocedal, J. and Wright, S. J. (1999) Numerical Optimization. Springer.