Dear all,
I'm optimizing a relatively simple function. Using optimize the optimized
parameter value is worse than the starting.
why?
f<-function(delta,P,U){
minimiz<-P+delta*U
x<-minimiz[1]
y<-minimiz[2]
z<-100*(y-x^2)^2+(1-x)^2
return(z)
}
result<-optimize(f, interval=c(-10, 10), P=c(0.99,1.01), U=c(1,0))
result
Output:
> result<-optimize(f, interval=c(-10, 10), P=c(0.99,1.01), U=c(1,0))
> result
$minimum
[1] -1.990015
$objective
[1] 4.01
Function Value at Starting Point with free parameter=0:
> f(0,c(0.99,1.01),c(1,0))
[1] 0.089501
It seems as if optimize doesn't check the whole interval.
> result<-optimize(f, interval=c(-1, 10), P=c(0.99,1.01), U=c(1,0))
> result
$minimum
[1] 0.01497394
$objective
[1] 2.481504e-05
Changing the lower interval value leads to the result I am looking for. How do
I find this result when I have no idea where the optimal values lies and want
to look in an interval that is as wide as possible?
any ideas?
Michael
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