Greetings,
I am in great anguish as the routine stats::optim shows unexplicable behaviour
of various sorts.
For one it is immune to the choice of optimization method and seems to always
do the same.
The following trace log
N = 21, M = 5 machine precision = 2.22045e-16
At X0, 0 variables are exactly at the bounds
At iterate 0 f= 1756.8 |proj g|= 0.73581
At iterate 1 f = 911.52 |proj g|= 0.70136
At iterate 2 f = 791.62 |proj g|= 0.68563
At iterate 3 f = 749.81 |proj g|= 1
.....
.....
At iterate 87 f = 666.91 |proj g|= 0.98217
At iterate 88 f = 666.9 |proj g|= 0.96966
Bad direction in the line search;
refresh the lbfgs memory and restart the iteration.
At iterate 89 f = 9022.8 |proj g|= 1.0426
iterations 89
function evaluations 132
segments explored during Cauchy searches 128
BFGS updates skipped 0
active bounds at final generalized Cauchy point 18
norm of the final projected gradient 1.04257
final function value 9022.84
F = 9022.84
final value 9022.836050
converged
by each of the following calls to optim:
optPars <- optim( pars,OF,#gradientOF,
method = "CG",
lower = pars_lb,upper=pars_ub,
control = list(fnscale=1,trace=3,REPORT=1)
)
optPars <- optim( pars,OF,#gradientOF,
method = "Nelder-Mead",
lower = pars_lb,upper=pars_ub,
control = list(fnscale=1,trace=3,REPORT=1)
)
optPars <- optim( pars,OF,#gradientOF,
method = "L-BFGS-B",
lower = pars_lb,upper=pars_ub,
control = list(fnscale=1,trace=3,REPORT=1)
)
If method != "L-BFGS-B", then the routine complains about the uses of bounds for
the parameters as expected, however the trace log above reminas the same.
Note also that the routine makes fine progress toward a minimum (as desired)
but in the last iteration reverses course and returns a function value much
larger than the starting value.
What is going on here?
All help is much appreciated.
Michael Meyer
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