Setting abs.tol = 0 works! This turns-off the absolute function convergence criterion.
> nlminb( objective=function(x) x, start=1, lower=-2, upper=2, control=list(abs.tol=0)) $par [1] -2 $objective [1] -2 $convergence [1] 0 $message [1] "both X-convergence and relative convergence (5)" $iterations [1] 3 $evaluations function gradient 3 3 This is clearly a bug. Ravi. -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Ravi Varadhan Sent: Friday, July 09, 2010 4:42 PM To: 'Duncan Murdoch'; 'Matthew Killeya' Cc: r-help@r-project.org; ba...@stat.wisc.edu Subject: Re: [R] Not nice behaviour of nlminb (windows 32 bit, version 2.11.1) Duncan, `nlminb' is not intended for non-negative functions only. There is indeed something strange happening in the algorithm! start <- 1.0 # converges to wrong minimum startp <- 1.0 + .Machine$double.eps # correct startm <- 1.0 - .Machine$double.eps # correct > nlminb( objective=obj, start=start, lower=-2, upper=2) $par [1] 0 $objective [1] 0 $convergence [1] 0 $message [1] "absolute function convergence (6)" $iterations [1] 1 $evaluations function gradient 2 2 > > nlminb( objective=obj, start=startp, lower=-2, upper=2) $par [1] -2 $objective [1] -2 $convergence [1] 0 $message [1] "both X-convergence and relative convergence (5)" $iterations [1] 3 $evaluations function gradient 3 3 > > nlminb( objective=obj, start=startm, lower=-2, upper=2) $par [1] -2 $objective [1] -2 $convergence [1] 0 $message [1] "both X-convergence and relative convergence (5)" $iterations [1] 3 $evaluations function gradient 3 3 >From the convergence message the `absolute function convergence' seems to be the culprit, although I do not understand why that stopping criterion is becoming effective, when the algorithm is started at x=1, but not at any other values. The documentation in IPORT makes it clear that this criterion is effective only for functions where f(x*) = 0, where x* is a local minimum. In this example, x=0 is not a local minimum for f(x), so that criterion should not apply. Ravi. -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Duncan Murdoch Sent: Friday, July 09, 2010 3:45 PM To: Matthew Killeya Cc: r-help@r-project.org; ba...@stat.wisc.edu Subject: Re: [R] Not nice behaviour of nlminb (windows 32 bit, version 2.11.1) On 09/07/2010 10:37 AM, Matthew Killeya wrote: > nlminb( obj = function(x) x, start=1, lower=-Inf, upper=Inf ) > If you read the PORT documentation carefully, you'll see that their convergence criteria are aimed at minimizing positive functions. (They never state this explicitly, as far as I can see.) So one stopping criterion is that |f(x)| < abs.tol, and that's what it found for you. I don't know if there's a way to turn this off. Doug or Deepayan, do you know if nlminb can be made to work on functions that go negative? Duncan Murdoch > $par > [1] 0 > > $objective > [1] 0 > > $convergence > [1] 0 > > $message > [1] "absolute function convergence (6)" > > $iterations > [1] 1 > > $evaluations > function gradient > 2 2 > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.