Re: [R] Gradient function in OPTIMX
Hi Kathie, The gradient check in optimx checks if the user specified gradient (at starting parameters) is within roughly 1.e-05 * (1 + fval) of the numerically computed gradient. It is likely that you have correctly coded up the gradient, but still there can be significant differences b/w numerical and exact gradients. This can happen when the gradients are very large. I would check this again separately as follows: require(numDeriv) mygrad - gr.fy(theta0) numgrad - grad(x=theta0, func=gr.fy) cbind(mygrad, numgrad) all.equal(mygrad, numgrad) Can you report these gradients to us? In optimx, we should probably change this into a warning rather than a stop. Ravi. --- Ravi Varadhan, Ph.D. Assistant Professor, Division of Geriatric Medicine and Gerontology School of Medicine Johns Hopkins University Ph. (410) 502-2619 email: rvarad...@jhmi.edu __ 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.
Re: [R] gradient function in OPTIMX
Hi, In my package CatDyn, which uses optimx, I included the gradients of 20 version of the model involved. I estimate model parameters with numerical gradients, and at the final estimates I calculate the analytical gradients. In the simplest version of the model the analytical gradients computed post hoc are almost identical to the numerical gradients. This shows that the analytical gradients (whose formulas were obtained by the CAS Maxima) are correct, at least for those simple versions of my model. However, if I try to pass the analytical gradients to optimx in a new optimization, I invariably get the error message that you got: Gradient function might be wrong - check it! This happens regardless of the method used (BFGS, spg, Rcgmin). Same as you, when I try to pass the gradients to optim, instead of optimx, the gradients are accepted and computed correctly, but then I cann't use the very nice other features of optimx. I wanted to report this to Ravi and Prof. Nash but I haven't got the time for a full report with several examples and variations. So now that you report it, here I am, seconding you in calling the attention to this apparent problem in optimx. Rubén H. Roa-Ureta, Ph. D. AZTI Tecnalia, Txatxarramendi Ugartea z/g, Sukarrieta, Bizkaia, SPAIN -Original Message- From: r-help-boun...@r-project.org on behalf of Kathie Sent: Mon 8/29/2011 11:10 AM To: r-help@r-project.org Subject: [R] gradient function in OPTIMX Dear R users When I use OPTIM with BFGS, I've got a significant result without an error message. However, when I use OPTIMX with BFGS( or spg), I've got the following an error message. optimx(par=theta0, fn=obj.fy, gr=gr.fy, method=BFGS, control=list(maxit=1)) Error: Gradient function might be wrong - check it! I checked and checked my gradient function line by line. I could not find anything wrong. Is it a bug or something? I prefer OPTIMX, so I'd like to know why. Thanks a lot in advance Regards, Kathryn Lord -- View this message in context: http://r.789695.n4.nabble.com/gradient-function-in-OPTIMX-tp3775791p3775791.html Sent from the R help mailing list archive at Nabble.com. __ 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. [[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.
Re: [R] gradient function in OPTIMX
optimx uses exactly the same code as optim for BFGS. However, the call to optim in optimx is preceded by a check of the gradient at the starting values supplied using numDeriv. That is, we evaluate the gradient with gr=(user's function for gradient) and then with the grad() function from numDeriv. There are some tolerances used, and depending on your function and its perversities (and most nonlinear functions do have some), there won't be total agreement, so the message can get popped up. Suggestion: Try evaluating the function and gradient at several sets of inputs along with the numDeriv grad() equivalent and see if they are close enough in your own view. If not, then possibly your gradient code is not quite right. This suggestion is appropriate generally in building optimization problem codes, and is part of the optimgui package of Yixuan Qui built in the recent Google Summer of Code effort. John Nash On 08/30/2011 06:00 AM, r-help-requ...@r-project.org wrote: Message: 10 Date: Mon, 29 Aug 2011 02:10:36 -0700 (PDT) From: Kathie kathryn.lord2...@gmail.com To: r-help@r-project.org Subject: [R] gradient function in OPTIMX Message-ID: 1314609036951-3775791.p...@n4.nabble.com Content-Type: text/plain; charset=us-ascii Dear R users When I use OPTIM with BFGS, I've got a significant result without an error message. However, when I use OPTIMX with BFGS( or spg), I've got the following an error message. optimx(par=theta0, fn=obj.fy, gr=gr.fy, method=BFGS, control=list(maxit=1)) Error: Gradient function might be wrong - check it! I checked and checked my gradient function line by line. I could not find anything wrong. Is it a bug or something? I prefer OPTIMX, so I'd like to know why. Thanks a lot in advance Regards, Kathryn Lord -- View this message in context: http://r.789695.n4.nabble.com/gradient-function-in-OPTIMX-tp3775791p3775791.html Sent from the R help mailing list archive at Nabble.com. -- __ 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] gradient function in OPTIMX
Dear R users When I use OPTIM with BFGS, I've got a significant result without an error message. However, when I use OPTIMX with BFGS( or spg), I've got the following an error message. optimx(par=theta0, fn=obj.fy, gr=gr.fy, method=BFGS, control=list(maxit=1)) Error: Gradient function might be wrong - check it! I checked and checked my gradient function line by line. I could not find anything wrong. Is it a bug or something? I prefer OPTIMX, so I'd like to know why. Thanks a lot in advance Regards, Kathryn Lord -- View this message in context: http://r.789695.n4.nabble.com/gradient-function-in-OPTIMX-tp3775791p3775791.html Sent from the R help mailing list archive at Nabble.com. __ 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.
