[R] nlminb() - how do I constrain the parameter vector properly?
Prof J C Nash (U30A)
nashjc at uottawa.ca
Mon Oct 21 14:47:53 CEST 2013
This is one area where more internal communication between the objective
function (inadmissible inputs) and optimizer (e.g., Quasi-Newton) is
needed. This is NOT done at the moment in R, nor in most software. An
area for R&D. In Nash and Walker-Smith (1987) we did some of this in
BASIC back in mid-80s. Still trying to redo that for R, but it won't be
done quickly due to the much bigger infrastructure of R.
The "trick" with using a large value or Inf (which sometimes causes
other errors) usually slows the optimization, whereas communicating that
the objective is inadmissible in a line search can often be simply a
shortening of the step size.
On 13-10-21 06:00 AM, r-help-request at r-project.org wrote:
> Message: 34
> Date: Mon, 21 Oct 2013 05:56:45 -0400
> From: Mark Leeds<markleeds2 at gmail.com>
> To: Steven LeBlanc<oreslag at gmail.com>
> Cc:"r-help at R-project.org" <r-help at r-project.org>
> Subject: Re: [R] nlminb() - how do I constrain the parameter vector
> <CAHz+bWYEtvZjiCCauGVxstGcqmF6ENw0N3MMb7jfa3OkYkBTKA at mail.gmail.com>
> Content-Type: text/plain
> my mistake. since nlminb is minimizing, it should be +Inf ( so that the
> is large ) as you pointed out. Note that this approach is a heuristic and
> may not work all the time.
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