On Fri, 28 Jul 2000, Marcel Wolbers wrote:
> Dear all
>
> I'm having some trouble with a bound-constrained optimization using
> optim(...,method="L-BFGS-B").
> Usually, everything works fine, but for some simulations, the algorithm
just
> gets stuck.
> When I let my function (+gradient) evaluation print out the
> function value, I see that L-BFGS-B keeps calling the function with
> arguments giving the same function value (up to at least the accuracy
> required by factr, i.e. 1E-8). So, I don't really understand
> why it doesn't stop.
> Is this a well-known problem?
No. It is pretty well-tested PD code for the problem. Have you scaled
sensibly? If you are not supplying derivatives, either do so or
lower the tolerances.
> The main problem is that the optimization doesn't stop (at least not
> in reasonable time) and so the whole simulation gets stuck. Is there a way
> to control the time used by "L-BFGS-B" better than with setting
maxiter?
> (For example setting an upper limit to the number of function and gradient
> calls would be nice...)
Yes, it would be nice. The authors did not provide it though, so if you
have the patience a patch would be gratefully received.
> Sorry, I can't give a reproducable example. The code that produces the
> problem is not very handy to attach to the mail (it calls C 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 272860 (secr)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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