Dear All,
I am trying to solve the optimization problem below, but I am always
getting the following error:
Error in optim(rep(20, nvar), f, gr, method = "L-BFGS-B", lower =
rep(0, :
L-BFGS-B needs finite values of 'fn'
Any ideas?
Thanks in advance,
Paul
-----------------------------------------------
k <- 10000
b <- 0.3
f <- function(x) {
n <- length(x)
r <- sum((b^(0:(n-1)))*log(x)) - 2000000*(sum(x)-k)^2
return(r)
}
gr <- function(x) {
n <- length(x)
r <- (b^(0:(n-1)))*(1/x) - 4000000*(sum(x)-k)
return(r)
}
nvar <- 10
(sols <-
optim(rep(20,nvar),f,gr,method="L-BFGS-B",lower=rep(0,nvar),upper=rep(k,nvar),control=list(fnscale=-1,parscale=rep(2000,nvar),factr=1e-300,pgtol=1e-300)))
Your function gives -Inf at the lower bound on the parameters, so you are minimizing a function without a lower bound. Using the trace facilities of optim() would have got you thereeasily enough. On Mon, 31 Mar 2008, Paul Smith wrote:> Dear All, > > I am trying to solve the optimization problem below, but I am always > getting the following error: > > Error in optim(rep(20, nvar), f, gr, method = "L-BFGS-B", lower = rep(0, : > L-BFGS-B needs finite values of 'fn' > > Any ideas? > > Thanks in advance, > > Paul > > ----------------------------------------------- > > k <- 10000 > b <- 0.3 > > f <- function(x) { > > n <- length(x) > > r <- sum((b^(0:(n-1)))*log(x)) - 2000000*(sum(x)-k)^2 > > return(r) > > } > > gr <- function(x) { > > n <- length(x) > > r <- (b^(0:(n-1)))*(1/x) - 4000000*(sum(x)-k) > > return(r) > > } > > nvar <- 10 > (sols <- optim(rep(20,nvar),f,gr,method="L-BFGS-B",lower=rep(0,nvar),upper=rep(k,nvar),control=list(fnscale=-1,parscale=rep(2000,nvar),factr=1e-300,pgtol=1e-300))) > > ______________________________________________ > R-help at 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. >-- Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595
try something like this before wrapping up your function else i guess u'll
have to stick to Prof Brian Ripley suggestion his suggestions are usually
best bet .
f <- function(x) {
n <- length(x)
r <- sum((b^(0:(n-1)))*log(x)) - 2000000*(sum(x)-k)^2
if(!is.finite(r))
r<-1e+20 return(r)
}
have a nice day.
On Mon, 31 Mar 2008 12:24:09 +0100 "Paul Smith" wrote:
> Dear All,
>
> I am trying to solve the optimization problem below, but I am always
> getting the following error:
>
> Error in optim(rep(20, nvar), f, gr, method = "L-BFGS-B",
lower = rep(0, :
> L-BFGS-B needs finite values of 'fn'
>
> Any ideas?
>
> Thanks in advance,
>
> Paul
>
> -----------------------------------------! ------
>
> k <- 10000
> b <- 0.3
>
> f <- function(x) {
>
> n <- length(x)
>
> r <- sum((b^(0:(n-1)))*log(x)) - 2000000*(sum(x)-k)^2
>
> return(r)
>
> }
>
> gr <- function(x) {
>
> n <- length(x)
>
> r <- (b^(0:(n-1)))*(1/x) - 4000000*(sum(x)-k)
>
> return(r)
>
> }
>
> nvar <- 10
> (sols <-
>
optim(rep(20,nvar),f,gr,method="L-BFGS-B",lower=rep(0,nvar),upper=rep(k,nvar
),control=list(fnscale=-1,parscale=rep(2000,nvar),factr=1e-300,pgtol=1e-300)
))
>
> ______________________________________________
> R-help at 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.htm! l
> and provide commented, minimal, self-contained, reproduci ble code.