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Message-ID: <6ade6f6c0803310424j6d065576ud583ac76e3e22f15@mail.gmail.com>
Date: 2008-03-31T11:24:09Z
From: Paul Smith
Subject: L-BFGS-B needs finite values of 'fn'

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)))