L-BFGS-B needs finite values of 'fn'
On Mon, Mar 31, 2008 at 2:57 PM, Zaihra T <zaihra at uwindsor.ca> wrote:
try something like this before wrapping up your function else i guess u'll
have to stick to Prof Brian Ripley suggestion his suggestions are usually
best bet .
f <- function(x) {
n <- length(x)
r <- sum((b^(0:(n-1)))*log(x)) - 2000000*(sum(x)-k)^2
if(!is.finite(r))
r<-1e+20 return(r)
}
have a nice day.
On Mon, 31 Mar 2008 12:24:09 +0100 "Paul Smith" wrote:
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)))
Not much progress, Zaihra. Unfortunately! I am wondering whether one can transform the original problem into an equivalent one and solvable with optim. I know the analytical solution; I am just trying to check how far can R go regarding optimization problems. Paul