R devel - Oct 2009 - Buglet in optim() SANN

I think SANN method in optim() is failing to report that it has not 
converged. Here is an example

genrose.f<- function(x, gs=NULL){ # objective function
## One generalization of the Rosenbrock banana valley function (n 
parameters)
	n <- length(x)
         if(is.null(gs)) { gs=100.0 }
	fval<-1.0 + sum (gs*(x[1:(n-1)]^2 - x[2:n])^2 + (x[2:n] - 1)^2)
         return(fval)
}

xx<-rep(pi,10)
test<-optim(xx,genrose.f,method="SANN",control=list(maxit=1000,trace=1))
print(test)


Output is:

 > source("tsann.R")
sann objective function values
initial       value 40781.805639
iter      999 value 29.969529
final         value 29.969529
sann stopped after 999 iterations
$par
  [1] 1.0135254 0.9886862 1.1348609 1.0798927 1.0327997 1.1087146 1.1642130
  [8] 1.3038754 1.8628391 3.7569285

$value
[1] 29.96953

$counts
function gradient
     1000       NA

$convergence
[1] 0  <------ THIS SHOULD BE 1 ACCORDING TO THE DOCS

$message
NULL

Note terribly important, but maybe fixable.

Cheers,

John Nash

As the posting guide says, please read the help carefully before 
posting.  It does say:

      ?maxit? The maximum number of iterations. Defaults to ?100? for
           the derivative-based methods, and ?500? for
?"Nelder-Mead"?.
           For ?"SANN"? ?maxit? gives the total number of function
           evaluations. There is no other stopping criterion.
                        ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
           Defaults to ?10000?.

so this is indicating 'successful convergence' as documented.

On Tue, 20 Oct 2009, Prof. John C Nash wrote:
> I think SANN method in optim() is failing to report that it has not 
> converged. Here is an example
>
> genrose.f<- function(x, gs=NULL){ # objective function
> ## One generalization of the Rosenbrock banana valley function (n
parameters)
> 	n <- length(x)
>        if(is.null(gs)) { gs=100.0 }
> 	fval<-1.0 + sum (gs*(x[1:(n-1)]^2 - x[2:n])^2 + (x[2:n] - 1)^2)
>        return(fval)
> }
>
> xx<-rep(pi,10)
>
test<-optim(xx,genrose.f,method="SANN",control=list(maxit=1000,trace=1))
> print(test)
>
>
> Output is:
>
>> source("tsann.R")
> sann objective function values
> initial       value 40781.805639
> iter      999 value 29.969529
> final         value 29.969529
> sann stopped after 999 iterations
> $par
> [1] 1.0135254 0.9886862 1.1348609 1.0798927 1.0327997 1.1087146 1.1642130
> [8] 1.3038754 1.8628391 3.7569285
>
> $value
> [1] 29.96953
>
> $counts
> function gradient
>    1000       NA
>
> $convergence
> [1] 0  <------ THIS SHOULD BE 1 ACCORDING TO THE DOCS
It _should_ be 0 according to the help page.
>
> $message
> NULL
>
> Note terribly important, but maybe fixable.
>
> Cheers,
>
> John Nash
>
> ______________________________________________
> R-devel at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel
>
-- 
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