Hi everyone,
I am currently using the function optim() to maximize/minimize functions and
I would like to see more output of the optimization procedure, in particular
the numerical gradient of the parameter vector during each iteration.
The documentation of optim() describes that the trace parameter should allow
one to trace the progress of the optimization.
I use the following command:
optim(par = vPar,
fn = calcLogLik,
method = "BFGS",
control = list(trace = TRUE, fnscale = -1, maxit = 2000));
which gives very little information:
initial value 3.056998
final value 2.978351
converged
Specifying trace >1, for instance trace = 20, does not result in more
information. Is there a way to view more details of the progress perhaps by
using another optimizer?
Thanks,
Shimrit Abraham
[[alternative HTML version deleted]]
Hi,
If you look at the source code for optim() in the optim.c file, you will see
the following lines for "BFGS":
if (trace && (iter % nREPORT == 0))
Rprintf("iter%4d value %f\n", iter, f);
This means that "BFGS" does not output gradient values when you
"trace" the
iterations. Let us look at the code for "L-BFGS-B":
if(trace == 1 && (iter % nREPORT == 0)) {
Rprintf("iter %4d value %f\n", iter, f);
So, it seems like even "L-BFGS-B" algorithm is also not going to be
useful
to you.
You can use the spg() function in the "BB" package. Its usage is very
similar to that of optim(). When you specify trace=TRUE, it will give you
both function and (projected) gradient information. You can use the
"triter" parameter to control the frequency of output, i.e. settig
triter=1,
will give you the fn and gr values at each iteration.
library(BB)
?spg
Hope this helps,
Ravi.
----------------------------------------------------------------------------
-------
Ravi Varadhan, Ph.D.
Assistant Professor, The Center on Aging and Health
Division of Geriatric Medicine and Gerontology
Johns Hopkins University
Ph: (410) 502-2619
Fax: (410) 614-9625
Email: rvaradhan at jhmi.edu
Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
----------------------------------------------------------------------------
--------
-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On
Behalf Of Shimrit Abraham
Sent: Tuesday, February 24, 2009 9:00 AM
To: r-help at r-project.org
Subject: [R] Tracing gradient during optimization
Hi everyone,
I am currently using the function optim() to maximize/minimize functions and
I would like to see more output of the optimization procedure, in particular
the numerical gradient of the parameter vector during each iteration.
The documentation of optim() describes that the trace parameter should allow
one to trace the progress of the optimization.
I use the following command:
optim(par = vPar,
fn = calcLogLik,
method = "BFGS",
control = list(trace = TRUE, fnscale = -1, maxit = 2000));
which gives very little information:
initial value 3.056998
final value 2.978351
converged
Specifying trace >1, for instance trace = 20, does not result in more
information. Is there a way to view more details of the progress perhaps by
using another optimizer?
Thanks,
Shimrit Abraham
[[alternative HTML version deleted]]
______________________________________________
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.
It looks like you found a solution, but if you find yourself in this situation again using optim, then one approach is to modify your function that you are optimizing (or write a wrapper for it) to produce the tracing information for you. -- Gregory (Greg) L. Snow Ph.D. Statistical Data Center Intermountain Healthcare greg.snow at imail.org 801.408.8111> -----Original Message----- > From: r-help-bounces at r-project.org [mailto:r-help-bounces at r- > project.org] On Behalf Of Shimrit Abraham > Sent: Tuesday, February 24, 2009 7:00 AM > To: r-help at r-project.org > Subject: [R] Tracing gradient during optimization > > Hi everyone, > > I am currently using the function optim() to maximize/minimize > functions and > I would like to see more output of the optimization procedure, in > particular > the numerical gradient of the parameter vector during each iteration. > The documentation of optim() describes that the trace parameter should > allow > one to trace the progress of the optimization. > I use the following command: > > optim(par = vPar, > fn = calcLogLik, > method = "BFGS", > control = list(trace = TRUE, fnscale = -1, maxit = 2000)); > > which gives very little information: > > initial value 3.056998 > final value 2.978351 > converged > > Specifying trace >1, for instance trace = 20, does not result in more > information. Is there a way to view more details of the progress > perhaps by > using another optimizer? > > Thanks, > > Shimrit Abraham > > [[alternative HTML version deleted]] > > ______________________________________________ > 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.