Sébastien Bihorel <pomchip <at> free.fr> writes: > > Dear R-users, > > I am trying to port to R something that I wrote in Matlab to perform model > parameter optimization using the Nelder-Mead simplex method (fminsearch). I > read the help on ?optim (which seems to be the way to go) as well as a bunch > of posts on the topic, but I would like to make sure about something before > I spend to much time trying to reproduce something that is not possible. The > Matlab fminsearch has some nice features allowing the user to pass the > optimization status (i.e., iteration number, objective function value, > parameter estimate, algorithm porcedure,etc...) at each iteration to a > custom function. In turn, this allows to save the data to file or print > something to the shell. > > Did anybody manage to get optim similarly output the optimization status at > each iteration to a function? > > The control=(trace=...) argument seems only to return partial data to the > shell. Some post on the list also suggested to include some code inside the > objective function, but this implies the execution of the code at each > function evaluation rather than at each iteration. > > Any feedback on the topic would be appreciated. > > Sebastien >
I think that what you see is more or less what you get with optim() in this case. As I've mentioned in an earlier thread, I've translated Nelder-Mead from _Numerical Recipes_ code into R, which would allow you to instrument it however you wanted. (Indeed, I translated it in order to allow me to create a picture of N-M updating that showed which points were being visited and which updating rules executed.) I could send it if you wanted. The output-function hook is a nice idea, though -- might be worth mentioning to John Nash, who is working on a project (optimx on R-forge) to extend R's optimization capabilities. ______________________________________________ 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.
