2012/11/5 Mauricio Zambrano-Bigiarini <[email protected]>: > Dear list, > > I have a question related to the correct interpretation of the > relative convergence criterion used by 'optim'. > > > In the help of the function is it written that: > > "reltol:Relative convergence tolerance. The algorithm stops if it is > unable to reduce the value by a factor of reltol * (abs(val) + reltol) > at a step." > > and I was wondering if the previous criterion is equivalent to: > > > abs( val [iter] - val[iter-1] ) / val [iter-1] <= reltol * ( abs( val > [iter] ) + reltol ) > > OR > > abs( val [iter] / val [iter-1] ) <= reltol * ( abs( val [iter] ) + reltol ) > > OR > > abs( val [iter] - val [iter-1] ) <= reltol * ( abs( val [iter] ) + reltol )
Just in case it be useful for somebody else. >From the C code on http://svn.r-project.org/R/trunk/src/appl/optim.c : ... enough = (f > abstol) && fabs(f - *Fmin) > reltol * (fabs(*Fmin) + reltol); /* stop if value if small or if relative change is low */ if (!enough) { count = n; *Fmin = f; } ... which I would write in R as: reltol <- abs( f - f.best ) <= reltol * ( abs(f.best) + reltol ) Cheers, Mauricio Zambrano-Bigiarini -- ===================================== Water Resources Unit Institute for Environment and Sustainability Joint Research Centre, European Commission webinfo : http://floods.jrc.ec.europa.eu/ ===================================== DISCLAIMER:\ "The views expressed are purely those of th...{{dropped:11}} ______________________________________________ [email protected] 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.
