Yes, initially, it didn't work and thanks to one of the examples in the help file, I found out that I need to set maximize = T...but thanks for your suggestion anyway. I mainly work with state space models and I'm currently dealing with a case where the estimation time is halved (!!!) by spg().
Shimrit On Tue, Feb 24, 2009 at 3:25 PM, Ravi Varadhan <rvarad...@jhmi.edu> wrote: > Hi Shimrit, > > Make sure that you set maximize=TRUE in the control settings (since you > have > fnscale = -1 in your optim() call). > > A nice feature of spg() is that the entire code is in R, and can be readily > seen by just typing the function name at the R prompt. On smaller problems > (with only a few parameters), it is usually slower than optim() or > nlminb(), > since much of the computing is performed in C and/or Fortran. But the > difference in speed is not that important in small problems, anyway. > However, it is faster on large-scale problems. > > Best, > 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: rvarad...@jhmi.edu > > Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html > > > > > ---------------------------------------------------------------------------- > -------- > > > -----Original Message----- > From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] > On > Behalf Of Shimrit Abraham > Sent: Tuesday, February 24, 2009 10:15 AM > To: Ravi Varadhan > Cc: r-help@r-project.org > Subject: Re: [R] Tracing gradient during optimization > > Hi Ravi, > > Thanks for your great suggestion, it does exactly what I need as it > provides > more insight into what is going on in the 'black box'. In addition, it's > much faster than optim(). I will use this function in the future. > > Kind Regards, > > Shimrit > > > > On Tue, Feb 24, 2009 at 2:33 PM, Ravi Varadhan <rvarad...@jhmi.edu> wrote: > > > Hi, > > > > If you look at the source code for optim() in the optim.c file, you > > will see the following lines for "BFGS": > > > > if (trace && (iter % nREPORT == 0)) > > Rprintf("iter%4d value %f\n", iter, f); > > > > This means that "BFGS" does not output gradient values when you > > "trace" the iterations. Let us look at the code for "L-BFGS-B": > > > > if(trace == 1 && (iter % nREPORT == 0)) { > > Rprintf("iter %4d value %f\n", iter, f); > > > > So, it seems like even "L-BFGS-B" algorithm is also not going to be > > useful to you. > > > > > > You can use the spg() function in the "BB" package. Its usage is very > > similar to that of optim(). When you specify trace=TRUE, it will give > > you both function and (projected) gradient information. You can use > > the "triter" parameter to control the frequency of output, i.e. settig > > triter=1, will give you the fn and gr values at each iteration. > > > > library(BB) > > ?spg > > > > Hope this helps, > > 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: rvarad...@jhmi.edu > > > > Webpage: > > http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html > > > > > > > > > > ---------------------------------------------------------------------- > > ------ > > -------- > > > > > > -----Original Message----- > > From: r-help-boun...@r-project.org > > [mailto:r-help-boun...@r-project.org] > > On > > Behalf Of Shimrit Abraham > > Sent: Tuesday, February 24, 2009 9:00 AM > > To: r-help@r-project.org > > Subject: [R] Tracing gradient during optimization > > > > Hi everyone, > > > > I am currently using the function optim() to maximize/minimize > > functions and I would like to see more output of the optimization > > procedure, in particular the numerical gradient of the parameter > > vector during each iteration. > > The documentation of optim() describes that the trace parameter should > > allow one to trace the progress of the optimization. > > I use the following command: > > > > optim(par = vPar, > > fn = calcLogLik, > > method = "BFGS", > > control = list(trace = TRUE, fnscale = -1, maxit = 2000)); > > > > which gives very little information: > > > > initial value 3.056998 > > final value 2.978351 > > converged > > > > Specifying trace >1, for instance trace = 20, does not result in more > > information. Is there a way to view more details of the progress > > perhaps by using another optimizer? > > > > Thanks, > > > > Shimrit Abraham > > > > [[alternative HTML version deleted]] > > > > ______________________________________________ > > R-help@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. > > > > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@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. > [[alternative HTML version deleted]] ______________________________________________ R-help@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.
