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Non linear optimization with nloptr package fail to produce true optimal result

John Fox 
Dear Daniel et al.,

Following on Duncan's remark and examining the message produced by 
nloptr(), I simply tried increasing the maximum number of function 
evaluations:
------ snip -------

 > nloptr(rep(0, 4), f, eval_g_ineq = hin, eval_g_eq = Hx, opts =
+          list("algorithm" = "NLOPT_LN_COBYLA", "xtol_rel" = 1.0e-8,
+               maxeval = 1e5)
+ )

Call:

nloptr(x0 = rep(0, 4), eval_f = f, eval_g_ineq = hin, eval_g_eq = Hx,
     opts = list(algorithm = "NLOPT_LN_COBYLA", xtol_rel = 1e-08,
         maxeval = 1e+05))


Minimization using NLopt version 2.7.1

NLopt solver status: 4 ( NLOPT_XTOL_REACHED: Optimization stopped
because xtol_rel or xtol_abs (above) was reached. )

Number of Iterations....: 46317
Termination conditions:  xtol_rel: 1e-08	maxeval: 1e+05
Number of inequality constraints:  1
Number of equality constraints:    1
Optimal value of objective function:  1287.71725107671
Optimal value of controls: 1.576708 6.456606 6.195305 -19.008

---------- snip ----------

That produces a solution closer to, and better than, the one that you 
suggested (which you obtained how?):

 > f(c(0.222, 6.999, 6.17, -19.371))
[1] 1325.076

I hope this helps,
  John

Thread (17 messages)

Daniel Lobo Non linear optimization with nloptr package fail to produce true optimal result Dec 13 John C Nash Non linear optimization with nloptr package fail to produce true optimal result Dec 13 Daniel Lobo Non linear optimization with nloptr package fail to produce true optimal result Dec 13 Daniel Lobo Non linear optimization with nloptr package fail to produce true optimal result Dec 13 Ben Bolker Non linear optimization with nloptr package fail to produce true optimal result Dec 13 Duncan Murdoch Non linear optimization with nloptr package fail to produce true optimal result Dec 13 Daniel Lobo Non linear optimization with nloptr package fail to produce true optimal result Dec 13 John C Nash Non linear optimization with nloptr package fail to produce true optimal result Dec 13 John C Nash Non linear optimization with nloptr package fail to produce true optimal result Dec 13 John Fox Non linear optimization with nloptr package fail to produce true optimal result Dec 13 John C Nash Non linear optimization with nloptr package fail to produce true optimal result Dec 13 Daniel Lobo Non linear optimization with nloptr package fail to produce true optimal result Dec 13 Ben Bolker Non linear optimization with nloptr package fail to produce true optimal result Dec 13 John C Nash Non linear optimization with nloptr package fail to produce true optimal result Dec 13 John Fox Non linear optimization with nloptr package fail to produce true optimal result Dec 13 Duncan Murdoch Non linear optimization with nloptr package fail to produce true optimal result Dec 13 John Fox Non linear optimization with nloptr package fail to produce true optimal result Dec 13