In using Nelder-Mead outside R, I find it critical to restart the algorithm (repeatedly) after it thinks it's found a solution, to see if it can do better. I can't say whether the R and Matlab implementations do this automatically or not.
on 6/12/2006 3:00 PM Anthony Bishara said the following: > Thanks for the feedback. I should've mentioned before that the > function is non-smooth. Also, it has a 3-element free parameter vector, and > I've been using a grid of 27 vectors of starting parameters. > > Anthony > > -----Original Message----- > From: Prof Brian Ripley [mailto:[EMAIL PROTECTED] > Sent: Monday, June 12, 2006 1:40 PM > To: Anthony Bishara > Cc: [email protected] > Subject: Re: [R] r's optim vs. matlab's fminsearch > > Unless you know the function to be non-smooth, I suggest you use > method="BFGS" in R. > > BTW, all such algorithms are only designed to find local minima, and so > the choice of starting point may be crucial. > > On Mon, 12 Jun 2006, Anthony Bishara wrote: > > >> Hi, >> I'm having a problem converting a Matlab program into R. The R code works >> almost all the time, but about 4% of the time R's optim function gets >> > stuck > >> on a local minimum whereas matlab's fminsearch function does not (or at >> least fminsearch finds a better minimum than optim). My understanding is >> that both functions default to Nelder-Mead optimization, but what's >> different about the two functions? Below, I've pasted the relevant >> > default > >> options I could find. Are there other options I should to consider? Does >> Matlab have default settings for reflection, contraction, and expansion, >> > and > >> if so what are they? Are there other reasons optim and fminsearch might >> work differently? >> Thanks. >> >> ***Matlab's fminsearch defaults*** >> MaxFunEvals: '200*numberofvariables' >> MaxIter: '200*numberofvariables' >> TolFun: 1.0000e-004 #Termination tolerance on the function >> value. >> TolX: 1.0000e-004 #Termination tolerance on x. >> >> ***R's optim defaults (for Nelder-Mead)*** >> maxit=500 >> reltol=1e-8 >> alpha=1.0 #Reflection >> beta=.5 #Contraction >> gamma=2.0 #Expansion >> >> >> Anthony J. Bishara >> Post-Doctoral Fellow >> Department of Psychological & Brain Sciences >> Indiana University >> 1101 E. Tenth St. >> Bloomington, IN 47405 >> (812)856-4678 >> >> ______________________________________________ >> [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 > > > -- Michael Prager, Ph.D. Southeast Fisheries Science Center NOAA Center for Coastal Fisheries and Habitat Research Beaufort, North Carolina 28516 ** Opinions expressed are personal, not official. No ** official endorsement of any product is made or implied. ______________________________________________ [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
