Displaying 20 results from an estimated 1000 matches similar to: "constrOptim with method SANN"
2008 Jan 18
0
constrOptim with SANN
Hi Everyone,
I'm trying to minimize a function using constrOptim with
the simulated annealing method SANN.
If I understand constrOptim well, it basically passes most
of its arguments to optim while somehow enforcing the constraints.
My problem is, that since SANN does not need gradients,
when using optim with SANN, the gr argument of optim is
used to specify a function to create the next
2008 Jun 26
1
Question about Constraint Optimization
Dear All,
I am having trouble in using R function "constrOptim" to do constraint
optimization. It seems that "constrOptim" calls function "optim" when it
does the optimization, and "optim" allows us to set "method" to be "SANN"
if we want to use simulated annealing. In "optim", the function allows us
to set gradient to be
2008 Mar 14
1
Optimization with constraint.
Hello.
I have some problems, when I try to model an
optimization problem with some constraints.
The original problem cannot be solved analytically, so
I have to use routines like "Simulated Annealing" or
"Sequential Quadric Programming".
But to see how all this works in R, I would like to
start with some simple problem to get to know the
basics:
The Problem:
min f(x1,x2)=
2008 Mar 16
1
optim: why is REPORT not used in SANN?
Hello,
I wonder why the control parameter REPORT is not supported by method
SANN. Looking into optim.c I found an internal constant:
#define STEPS 100
... and decreasing this to 10 helped me fine-tuning the annealing
parameters in an actual problem.
Is there any reason why not passing nREPORT to samin and setting
something like:
STEPS = nREPORT / tmax
Thomas P.
--
Thomas Petzoldt
2003 Jul 16
2
numerical differentiation in R? (for optim "SANN" parscale)
Dear R users,
I am running a maximum likelihood model with optim. I chose the
simulated annealing method (method="SANN").
SANN is not performing bad, but I guess it would be much more effecive
if I could set the `parscale' parameter.
The help sais:
`parscale' A vector of scaling values for the parameters.
Optimization is performed on `par/parscale' and these
2007 Aug 02
1
constraint in constrOptim
I'm using the function constrOptim together with the "SANN" method and
my objective function (f) has two parameters. One of the parameters
needs be into (2^(-10), 2^4) range and the other into (2^(-2), 2^12)
range. How can I do it using constrOptim??
Thank you
André Rossi
Alertas do Yahoo! Mail em seu celular. Saiba mais em http://br.mobile.yahoo.com/mailalertas/
2011 Dec 16
1
optim with simulated annealing SANN for combinatorial optimization
Hi all
I am trying to solve a combinatorial optimization problem. Basically, I can
reduce my problem into the next problem:
1.- Given a NxN grid of points, with some values in each cell
2.- Find the combination of K points on the grid such that, the maximum
mean value is obtained
I took the Travel SalesMan problem example in ?optim documentation. I am
not sure if I have understood correctly
2011 Sep 08
3
global optimisation with inequality constraints
Dear All,
I would like to minimise a nonlinear function subject to linear inequality constraints as part of an R program. I have been using the constrOptim function. I have tried all of the methods that come with Optim, but nothing finds the correct solution. If I use the correct solution as the vector of starting values, though, my program does output the correct solution and optimum - the
2004 Oct 02
1
constraints in optim?
>
optim(c(1,1),LL,method="SANN",control=list(fnscale=-1),trans=trans,times=times)
$par
[1] 17.422635 -1.606859
How could i constraint that the parameters should be both positive in
my maximizing problem?
I check constrOptim but here i could only constraint the variables trans and
times and not my parameters?
many thanks, regards
Christian
2006 Feb 28
3
any more direct-search optimization method in R
Hello list,
I am dealing with a noisy function (gradient,hessian not available) with
simple boundary constraints (x_i>0). I've tried constrOptim() using nelder
mead to minimize it but it is way too slow and the returned results are not
satisfying. simulated annealing is so hard to tune and it always crashes R
program in my case. I wonder if there are any packages or functions can do
2009 Oct 20
1
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)
}
2008 Mar 26
1
Optimization with nonlinear constraints
Hello.
I have some further problems with modelling an
optimization problem in R:
How can I model some optimization problem in R with a
linear objective function with subject to some
nonlinear constraints?
I would like to use "optim" or "constrOptim", maybe
with respect to methods like "Simulated Annealing" or
"Sequential Quadric Programming" or something
2009 Nov 18
1
bug in '...' of constrOptim (PR#14071)
Dear all,
There appears to be a bug in how constrOptim handles ... arguments that
are suppose to be passed to optim, according to the documentation. This
means you can't get the hessian to be returned, for example (so this is
a real problem, and not just a question of mistaken documentation).
Looking at the code, it appears that a call to the user-defined f
includes the ..., when the ...
2004 May 28
1
optim(method="SANN")
Hello List
I'm working on a combinatoric problem in which the object is to
minimize the badness() of a vector. I think this class of problem is only
soluble by optim() using method=SANN.
The badness() of anything is >= 0, and when I've found a solution with
zero badness, I want optim() to stop (carrying on beyond zero badness
cannot improve the solution). Efficiency is crucial here.
2003 Oct 29
1
constrOptim doesn´t send arguments to optim!(?)
Hi,
I think that there something wrong with the 'constrOptim' max/minimization
function because she doesn?t send extra arguments to 'optim' call.
Fact: When I use optim in a f(x,theta)-like function, everything goes ok.
But using constrOptim with the same function leads to error...
Proof: Make a small change in the 'Rosenbrock Banana function' (taken from
the Examples
2009 Jun 03
1
Using constrOptim() function
I have a function myFunction(beta,x) where beta is a vector of coefficients
and x is a data frame (think of it as a matrix). I want to optimize the
function myFunction() by ONLY changing beta, i.e. x stays constant, with 4
constraints. I have the following code (with a separate source file for the
function):
rm(list=ls())
source('mySourceFile')
2011 Dec 20
1
constrOptim and problem with derivative
Dear List,
I am using constrOptim to solve the following
fr1 <- function(x) {
b0 <- x[1]
b1 <- x[2]
((1/(1+exp(-b0+b1))+(1/(1+exp(-b0)))+(1/(1+exp(-b0-b1)))))/3
}
As you can see, my objective function is
((1/(1+exp(-b0+b1))+(1/(1+exp(-b0)))+(1/(1+exp(-b0-b1)))))/3 and I would
like to solve for both b0 and b1.
If I were to use optim then I would derive the gradient of the
2010 Jun 17
2
constrOptim( ): conflict between help page and code
There is a contradiction between what the help page says and what constrOptim actually
does with the constraints. The issue is what happens on the boundary.
The help page says
The feasible region is defined by ?ui %*% theta - ci >= 0?,
but the R code for constrOptim reads
if (any(ui %*% theta - ci <= 0))
stop("initial value not feasible")
The following example
2011 Dec 21
1
constrOptim and further arguments
Dear List,
I have the code below, where I am using the constrained optimisation
package, 'constrOptim.nl' to find the values of two values, b0 and b1.
I have no problems when I enter further variable information DIRECTLY into
the functions, fn, and heq. In this instance I require fn to have -0.0075
appended to it, and in the case of heq, h[1] has -0.2.
library(alabama)
2009 Sep 11
1
constrOptim parameters
Dear R wizards: I am playing (and struggling) with the example in the
constrOptim function. simple example. let's say I want to constrain my
variables to be within -1 and 1. I believe I want a whole lot of
constraints where ci is -1 and ui is either -1 or 1. That is, I have 2*N
constraints. Should the following work?
N=10
x= rep(1:N)
ci= rep(-1, 2*N)
ui= c(rep(1, N), rep(-1, N))