On 5/7/07, [EMAIL PROTECTED] <[EMAIL PROTECTED]> wrote: > I think the problem is the starting point. I do not remember the details > of the BFGS method, but I am almost sure the (.5, .5) starting point is > suspect, since the abs function is not differentiable at 0. If you perturb > the starting point even slightly you will have no problem. > > "Paul Smith" > <[EMAIL PROTECTED] > > To > Sent by: R-help <r-help@stat.math.ethz.ch> > [EMAIL PROTECTED] cc > at.math.ethz.ch > Subject > [R] Bad optimization solution > 05/07/2007 04:30 > PM > > > > > > > > > Dear All > > I am trying to perform the below optimization problem, but getting > (0.5,0.5) as optimal solution, which is wrong; the correct solution > should be (1,0) or (0,1). > > Am I doing something wrong? I am using R 2.5.0 on Fedora Core 6 (Linux). > > Thanks in advance, > > Paul > > ------------------------------------------------------ > myfunc <- function(x) { > x1 <- x[1] > x2 <- x[2] > abs(x1-x2) > } > > optim(c(0.5,0.5),myfunc,lower=c(0,0),upper=c(1,1),method="L-BFGS-B",control=list(fnscale=-1))
Yes, with (0.2,0.9), a correct solution comes out. However, how can one be sure in general that the solution obtained by optim is correct? In ?optim says: Method '"L-BFGS-B"' is that of Byrd _et. al._ (1995) which allows _box constraints_, that is each variable can be given a lower and/or upper bound. The initial value must satisfy the constraints. This uses a limited-memory modification of the BFGS quasi-Newton method. If non-trivial bounds are supplied, this method will be selected, with a warning. which only demands that "the initial value must satisfy the constraints". Paul ______________________________________________ R-help@stat.math.ethz.ch 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.