[R] Optimisation does not optimise!
gysc at leeds.ac.uk
Mon Jul 15 09:46:44 CEST 2013
Thanks for this guidance.
In light of your advice I have reduced the titanic to a dingy by reducing the size of my sample to just 100 instances, making this an optimisation of 100 parameters. I am, however, seeing similar output when I output the function value at each evaluation. This is the tail of the information in the optout results structure
 1.003 1.003 1.003 1.003 1.003 1.003 1.003 1.003 1.003 1.003 1.003 1.003
 1.003 1.003 1.003 1.003
Can you or anyone suggest another optimisation routine I can use? I initially coded this into EXCEL and used the solver addin to do an optimisation of 200 parameters. R was my attempt to increase this number of parameters. I do not, unfortunately, have any derivative information.
Second year PhD, School of Geography
Tel : 0113 343 6707
Email : gysc at leeds.ac.uk
Web : http://www.geog.leeds.ac.uk/people/s.clark
From: Prof J C Nash (U30A) [mailto:nashjc at uottawa.ca]
Sent: 13 July 2013 13:07
To: r-help at r-project.org; Stephen Clark
Subject: [R] Optimisation does not optimise!
Considering that I devised the code initially on a computer with only 8K bytes for program and data, and it appears that your problem has 10000 parameters, I'm surprised you got any output. I suspect the printout is the BUILD phase where each weight is being adjusted in turn by the same shift.
Don't try to move the Titanic on a pram.
If you work out a gradient function, you can likely use Rcgmin (even though I wrote original CG in optim(), not recommended). spg from BB may also work OK.
This problem is near linear, so there are other approaches.
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