[ top | up ]

non-linear minimization

Syntax

nlm(f, p, hessian=FALSE, typsiz=rep(1, length(p)), fscale=1,
        print.level=0, ndigit=12, gradtl=1e-06,
        stepmx=max(1000 * sqrt(sum((p/typsiz)^2)), 1000),
        steptl=1e-06, iterlim=100)

Arguments

f the function to be minimized.
p starting parameter values for the minimization.
hessian if TRUE, the hessian of f at the minimum is returned.
typsiz an estimate of the size of each parameter at the minimum.
fscale an estimate of the size of f at the minimum.
print.level this argument determines the level of printing which is done during the minimization process. The default value of 0 means that no printing occurs, a value of 1 means that initial and final details are printed and a value of 2 means that full tracing information is printed.
ndigit the number of significant digits in the function f.
gradtl a positive scalar giving the tolerance at which the scaled gradient is considered close enough to zero to terminate the algorithm. The scaled gradient is a measure of the relative change in f in each direction p[i] divided by the relative change in p[i].
stepmx a positive scalar which gives the maximum allowable scaled step length. stepmx is used to prevent steps which would cause the optimization function to overflow, to prevent the algorithm from leaving the area of interest in parameter space, or to detect divergence in the algorithm. stepmx would be chosen small enough to prevent the first two of these occurrences, but should be larger than any anticipated reasonable step.
steptl A positive scalar providing the minimum allowable relative step length.
iterlim a positive integer specifying the maximum number of iterations to be performed before the program in terminated.

Description

This function carries out a minimization of the function f using a Newton-type algorithm. See the references for details.

This is a preliminary version of this function and it will probably change.

Values

A list containing the following components:
minimum the value of the estimated minimum of f. estimate the point at which the mininum value of f is obtained. gradient the gradient at the estimated minimum of f. hessian the hessian at the estimated minimum of f (if requested). code an integer indicating why the optimization process terminated. 1 = relative gradient is close to zero, current iterate is probably solution. 2 = successive iterates within tolerance, current iterate is probably solution. 3 = last global step failed to locate a point lower than estimate. Either estimate is an approximate local minimum of the function or steptl is too small. 4 = iteration limit exceeded. 5 = maximum step size stepmx exceeded five consecutive times. Either the function is unbounded below, becomes asymptotic to a finite value from above in some direction, of stepmx is too small.

References

Dennis, J. E. and Schnabel, R. B. (1983) Numerical Methods for Unconstrained Optimization and Nonlinear Equations, Prentice-Hall, Englewood Cliffs, NJ.

Schnabel, R. B., Koontz, J. E. and Weiss, B. E. (1985) A modular system of algorithms for unconstrained minimization, ACM Trans. Math. Software, 11, 419-440.

Examples

f <- function(x) sum((x-1:length(x))^2) nlm(f, c(10,10))