R help - Jun 2004 - How to define stopping criterium for Optim with L-BFGS-B

Hi,

I am using optim with a L-BFGS-B method to minimize a function. As I've
understood, the way to specify a tolerance for stopping optimization is
through "factr" argument.
My function, is by construction, minimal when equal to 1. I wonder if there
is any way to pass this info to "optim". If not, how "factr"
argument works
(I am quite confused about the relationship between this argument and the
Machine eps). Please, could someone give me an example ?

Thanks in advance

Isabelle.

I Zabalza-Mezghani
IFP - France

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On Wed, 23 Jun 2004, ZABALZA-MEZGHANI Isabelle wrote:
> I am using optim with a L-BFGS-B method to minimize a function. As I've
> understood, the way to specify a tolerance for stopping optimization is
> through "factr" argument.
> My function, is by construction, minimal when equal to 1. I wonder if there
> is any way to pass this info to "optim". 
No, as the problem is assumed to be scaled so this is approximately true.
> If not, how "factr" argument works
> (I am quite confused about the relationship between this argument and the
> Machine eps). Please, could someone give me an example ?
The (absolute) convergence tolerance is factr times the Machine eps, and
the help page does already give you an example.  You can read the
references for further details.

-- 
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