Re: [R] Non-linear minimization
Sébastien Ballesteros wrote: hello, I have got some trouble with R functions nlm(), nls() or optim() : I would like to fit 3 parameters which must stay in a precise interval. For exemple with nlm() : fn-function(p) sum((dN-estdata(p[1],p[2],p[3]))^2) out-nlm(fn, p=c(4, 17, 5), hessian=TRUE,print.level=2) with estdata() a function which returns value to fit with dN (observed data vactor) My problem is that only optim() allows me to set parameters interval with L-BFGS-B method but this one doesn't work in my case. I have heard about nls2 package (www.inra.fr/bia) but it doesn't work on Windows. it doesn't work on Windows is a very gentle description in this particular case... Do you know any solutions A typical trick is to redefine the function so that for points outside the boundaries increasing penalties are added (if you know enough about your function). Uwe Ligges Thank's a lot for reading my post Best regards Sebastien INA P-G ecology dpt __ 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 __ 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
RE: [R] Non-linear minimization
I have had my best luck by re-parametrizing so that I no longer needed restrictions. For example, if parameters must be positive, then I optimize over parameters in log space, taking the exponential within my function. This requires small changes to the function I'm optimizing (and the gradient, if supplied), but, for me at least, has worked better than trying to enforce box constraints as in L-BFGS-B. Hope this helps, Matt Wiener -Original Message- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Sébastien Ballesteros Sent: Tuesday, March 08, 2005 8:24 AM To: r-help@stat.math.ethz.ch Subject: [R] Non-linear minimization hello, I have got some trouble with R functions nlm(), nls() or optim() : I would like to fit 3 parameters which must stay in a precise interval. For exemple with nlm() : fn-function(p) sum((dN-estdata(p[1],p[2],p[3]))^2) out-nlm(fn, p=c(4, 17, 5), hessian=TRUE,print.level=2) with estdata() a function which returns value to fit with dN (observed data vactor) My problem is that only optim() allows me to set parameters interval with L-BFGS-B method but this one doesn't work in my case. I have heard about nls2 package (www.inra.fr/bia) but it doesn't work on Windows. Do you know any solutions Thank's a lot for reading my post Best regards Sebastien INA P-G ecology dpt __ 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 __ 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
Re: [R] Non-linear minimization
maybe you could re-parameterize the problem, e.g., p \in (a, b) p^* = (p - a) / (b - a) \in (0, 1) x = qlogis(p^*) \in \Re I hope it helps. Best, Dimitris Dimitris Rizopoulos Ph.D. Student Biostatistical Centre School of Public Health Catholic University of Leuven Address: Kapucijnenvoer 35, Leuven, Belgium Tel: +32/16/336899 Fax: +32/16/337015 Web: http://www.med.kuleuven.ac.be/biostat/ http://www.student.kuleuven.ac.be/~m0390867/dimitris.htm - Original Message - From: Sébastien Ballesteros [EMAIL PROTECTED] To: r-help@stat.math.ethz.ch Sent: Tuesday, March 08, 2005 2:23 PM Subject: [R] Non-linear minimization hello, I have got some trouble with R functions nlm(), nls() or optim() : I would like to fit 3 parameters which must stay in a precise interval. For exemple with nlm() : fn-function(p) sum((dN-estdata(p[1],p[2],p[3]))^2) out-nlm(fn, p=c(4, 17, 5), hessian=TRUE,print.level=2) with estdata() a function which returns value to fit with dN (observed data vactor) My problem is that only optim() allows me to set parameters interval with L-BFGS-B method but this one doesn't work in my case. I have heard about nls2 package (www.inra.fr/bia) but it doesn't work on Windows. Do you know any solutions Thank's a lot for reading my post Best regards Sebastien INA P-G ecology dpt __ 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 __ 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
Re: [R] Non-linear minimization
After some experimentation, I have had very good luck with the rgenoud package. It handles box constraints well and for small problems its slow speed has not been much of a problem. It has worked for me on Windows, Macintosh, and Linux. Chris JPMorgan Asset Management |-+ | | Sébastien Ballesteros| | | sebastien_ballestero| | | [EMAIL PROTECTED] | | | Sent by: | | | [EMAIL PROTECTED]| | | ath.ethz.ch | | || | || | | 03/08/2005 08:23 AM | | || |-+ -| | | | To: r-help@stat.math.ethz.ch | | cc: | | Subject: [R] Non-linear minimization | -| hello, I have got some trouble with R functions nlm(), nls() or optim() : I would like to fit 3 parameters which must stay in a precise interval. For exemple with nlm() : fn-function(p) sum((dN-estdata(p[1],p[2],p[3]))^2) out-nlm(fn, p=c(4, 17, 5), hessian=TRUE,print.level=2) with estdata() a function which returns value to fit with dN (observed data vactor) My problem is that only optim() allows me to set parameters interval with L-BFGS-B method but this one doesn't work in my case. I have heard about nls2 package (www.inra.fr/bia) but it doesn't work on Windows. Do you know any solutions Thank's a lot for reading my post Best regards Sebastien INA P-G ecology dpt __ 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 This communication is for informational purposes only. It is not intended as an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. All market prices, data and other information are not warranted as to completeness or accuracy and are subject to change without notice. Any comments or statements made herein do not necessarily reflect those of JPMorgan Chase Co., its subsidiaries and affiliates __ 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
