Paul, Have you tried using "BFGS" without bounds?
sols <- optim(rep(20,nvar), f, gr, method="BFGS", control=list(fnscale=-1)) This converges to a solution, although I don't know if the converged solution is what you want. Ravi. ---------------------------------------------------------------------------- ------- Ravi Varadhan, Ph.D. Assistant Professor, The Center on Aging and Health Division of Geriatric Medicine and Gerontology Johns Hopkins University Ph: (410) 502-2619 Fax: (410) 614-9625 Email: [EMAIL PROTECTED] Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html ---------------------------------------------------------------------------- -------- -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Paul Smith Sent: Monday, March 31, 2008 2:25 PM To: R-help Subject: Re: [R] L-BFGS-B needs finite values of 'fn' On Mon, Mar 31, 2008 at 2:57 PM, Zaihra T <[EMAIL PROTECTED]> wrote: > try something like this before wrapping up your function else i guess u'll > have to stick to Prof Brian Ripley suggestion his suggestions are usually > best bet . > > f <- function(x) { > > n <- length(x) > > r <- sum((b^(0:(n-1)))*log(x)) - 2000000*(sum(x)-k)^2 > if(!is.finite(r)) > > r<-1e+20 return(r) > > } > > have a nice day. > > > > > On Mon, 31 Mar 2008 12:24:09 +0100 "Paul Smith" wrote: > > Dear All, > > > > I am trying to solve the optimization problem below, but I am always > > getting the following error: > > > > Error in optim(rep(20, nvar), f, gr, method = "L-BFGS-B", lower = rep(0, : > > L-BFGS-B needs finite values of 'fn' > > > > Any ideas? > > > > Thanks in advance, > > > > Paul > > > > -----------------------------------------! ------ > > > > k <- 10000 > > b <- 0.3 > > > > f <- function(x) { > > > > n <- length(x) > > > > r <- sum((b^(0:(n-1)))*log(x)) - 2000000*(sum(x)-k)^2 > > > > return(r) > > > > } > > > > gr <- function(x) { > > > > n <- length(x) > > > > r <- (b^(0:(n-1)))*(1/x) - 4000000*(sum(x)-k) > > > > return(r) > > > > } > > > > nvar <- 10 > > (sols <- > > > optim(rep(20,nvar),f,gr,method="L-BFGS-B",lower=rep(0,nvar),upper=rep(k,nvar ),control=list(fnscale=-1,parscale=rep(2000,nvar),factr=1e-300,pgtol=1e-300) )) Not much progress, Zaihra. Unfortunately! I am wondering whether one can transform the original problem into an equivalent one and solvable with optim. I know the analytical solution; I am just trying to check how far can R go regarding optimization problems. Paul ______________________________________________ R-help@r-project.org 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. ______________________________________________ R-help@r-project.org 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.