Hi,
One approach is to use the `multiStart' function in my "BB" package. You have
to provide a matrix of starting values for this.
Here is a simple, one-dimensional optimization problem with multiple peaks and
valleys. I show how to find "all" the peaks in the bounded interval [0, 1].
myfn <- function(x) {
exp(-k1 * x) * sin(2*pi*k2*x)
}
k1 <- 0.5
k2 <- 5
x <- seq(0, 1, length=1000)
plot(x, fn(x), type="l")
require(BB)
p0mat <- matrix(runif(100), 100, 1) # random starting values
ans <- multiStart(par=p0mat, fn=myfn, lower=0, upper=1, action="optimize",
control=list(maximize=TRUE))
pconv <- ans$par[ans$conv] # converged solutions
rp <- !duplicated(round(pconv, 3)) # unique, converged solutions
sort(pconv[rp]) # lists all the local maxima
Hope this helps,
Ravi.
____________________________________________________________________
Ravi Varadhan, Ph.D.
Assistant Professor,
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University
Ph. (410) 502-2619
email: rvarad...@jhmi.edu
----- Original Message -----
From: Jeroen Ooms <jeroen.o...@stat.ucla.edu>
Date: Tuesday, November 3, 2009 2:27 am
Subject: [R] 1 dimensional optimization with local minima
To: r-help@r-project.org
> I am using numerical optimization to fit a 1 parameter model, in which
> the
> input parameter is bounded. I am currently using optimize(), however,
> the
> problem turns out to have local minima, and optimize does not always
> seem to
> find the global minimum. I could to write a wrapping function that tries
> multiple intervals or starting values, but I would prefer a package
> that has
> built-in methods to make it more robust against local minima.
>
> I checked the CRAN Task View for Optimization, however there seem to
> be a
> lot of alternatives, and not being an optimization expert, I could use
> some
> advice. What could be an appropriate package or function for one-dimensional
> bounded optimization, that includes some protection against local
> minima?
>
>
>
> -----
> Jeroen Ooms * Dept. of Methodology and Statistics * Utrecht University
>
>
> Visit www.jeroenooms.com to explore some of my
> current projects.
>
>
>
>
>
>
> --
> View this message in context:
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help@r-project.org mailing list
>
> PLEASE do read the posting guide
> and provide commented, minimal, self-contained, reproducible code.
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