[R] Can I monitor the iterative/convergence process while using Optim or MaxLik?

[Ravi Varadhan]

This is generally not the best way to do it for the following reasons.   

The objective function may be evaluated multiple times within a single iteration, for various reasons including (i) gradient evaluation when analytic gradient is not specified, and (ii) during line-search stretgy for steplength determination.  Therefore, embedding a `cat' or `print' statement inside the objective function may generate a lot of noise.  You can run your suggested `optim' example to verify this!

A better approach is to embed the `cat' statement inside the gradient function, in addition to using the `trace' and `REPORT' arguments, which are integers in `optim'.  Here is the `optim' example that you suggested:

fr <- function(x) { ## Rosenbrock Banana function 
x1 <- x[1] 
x2 <- x[2] 
100 * (x2 - x1 * x1)^2 + (1 - x1)^2 
} 

grr.print <- function(x) { ## Gradient of 'fr' 
cat("pars: ", x, '\n')
flush.console()
x1 <- x[1] 
x2 <- x[2] 
c(-400 * x1 * (x2 - x1 * x1) - 2 * (1 - x1), 200 * (x2 - x1 * x1)) 
} 

> optim(c(-1.2,1), fr, grr.print, method = "BFGS", control=list(trace=1, REPORT=1)) 

This prints out both parameter values and the function value at each iteration.

This approach cannot, however, be used in `optim' when analytic gradient is not available (or for derivative free methods, e.g. Nelder-Mead).  


Hope this helps,
Ravi.

____________________________________________________________________

Ravi Varadhan, Ph.D.
Assistant Professor,
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University

Ph. (410) 502-2619
email: rvaradhan at jhmi.edu


----- Original Message -----
From: Greg Snow <Greg.Snow at imail.org>
Date: Tuesday, September 14, 2010 4:27 pm
Subject: Re: [R] Can I monitor the iterative/convergence process while	using Optim or MaxLik?
To: Sally Luo <shali623 at gmail.com>, "r-help at r-project.org" <r-help at r-project.org>


> The simple way to do this is just to rewrite your function to be 
> optimized to print out the current values that it was called with, 
> this way you will see where it is and what it is doing.  Look at the 
> cat function for how to print the values, also look at the 
> flush.console function.
>  
>  For example you could take the 1st example on the optim help page and 
> insert the following 2 lines as the 1st 2 lines of the f function:
>  
>  cat(x, '\n')
>  flush.console()
>  
>  and then at each iteration you can see the values tried.
>  
>  -- 
>  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 [
>  > project.org] On Behalf Of Sally Luo
>  > Sent: Tuesday, September 14, 2010 1:50 PM
>  > To: r-help at r-project.org
>  > Subject: [R] Can I monitor the iterative/convergence process while
>  > using Optim or MaxLik?
>  > 
>  > Hi R-helpers,
>  > 
>  > Is it possible that I have the estimates from each step/iteration shown
>  > on
>  > the computer screen in order to monitor the process while I am using
>  > Optim
>  > or MaxLik?
>  > 
>  > Thanks for your help.
>  > 
>  > Maomao
>  > 
>  > 	[[alternative HTML version deleted]]
>  > 
>  > ______________________________________________
>  > R-help at r-project.org mailing list
>  > 
>  > PLEASE do read the posting guide 
>  > guide.html
>  > and provide commented, minimal, self-contained, reproducible code.
>  
>  ______________________________________________
>  R-help at r-project.org mailing list
>  
>  PLEASE do read the posting guide 
>  and provide commented, minimal, self-contained, reproducible code.