Mario,
It seems likely that your function is not smooth in the parameters. This
may create problems for some optimizers that require smoothness. However, I
was able to get good convergence with `spg' function in my "BB" package.
Here is how it works:
> require(BB)
Loading required package: BB
Loading required package: numDeriv
> m <- spg(param, fold.err, xx=h$x, yy=h$y, lower=lo, upper=up)
iter: 0 f-value: 7.597257 pgrad: 0.037
iter: 10 f-value: 7.551395 pgrad: 0.03674868
iter: 20 f-value: 7.5513 pgrad: 0.02421642
iter: 30 f-value: 7.551299 pgrad: 1.865619e-05
> m
$par
[,1] [,2] [,3] [,4]
[1,] 0.4132586 0.006864837 0.522723 0.01279469
$value
[1] 7.551299
$gradient
[1] 3.019807e-08
$fn.reduction
[1] 0.04595781
$iter
[1] 34
$feval
[1] 44
$convergence
[1] 0
$message
[1] "Successful convergence"
It is also interesting that `spg' converges well from a random, infeasible
starting point.
> set.seed(123)
> m <- spg(runif(4), fold.err, xx=h$x, yy=h$y, lower=lo, upper=up)
iter: 0 f-value: 102.6793 pgrad: 0.05
iter: 10 f-value: 7.552826 pgrad: 0.01328252
iter: 20 f-value: 7.551299 pgrad: 0.03674152
iter: 30 f-value: 7.551299 pgrad: 0.003764237
>
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_personal_pages/Varadhan.h
tml
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--------
-----Original Message-----
From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On
Behalf Of Mario Valle
Sent: Tuesday, January 12, 2010 12:45 PM
To: R-help@r-project.org
Subject: [R] optim: abnormal termination in lnsrch (resend)
Attached a script that reproduces the problem.
My function is fold.val() and at the end seems the curve contained in
lnsrch.dat is fitted quite well, but optim generates the error.
Thanks again!
mario
-------------------------
I'm using optim(param, fun, method='L-BFGS-B', lower=lo, upper=up) to
minimize a certain function.
Often the minimization ends with the message:
ERROR: ABNORMAL_TERMINATION_IN_LNSRCH
What is optim() trying to say?
What have I to change in my function to make the minimization succeed?
Do you think using BBoptim() instead of optim() changes anything?
Thanks for your help!
mario
--
Ing. Mario Valle
Data Analysis and Visualization Group |
http://www.cscs.ch/~mvalle
Swiss National Supercomputing Centre (CSCS) | Tel: +41 (91) 610.82.60
v. Cantonale Galleria 2, 6928 Manno, Switzerland | Fax: +41 (91) 610.82.82
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