[R] optimize integer function parameters
Hi I have observations obs - (11455, 11536, 11582, 11825, 11900, ...) and a simulation function f(A,B,C,D,E,F), so sim - f(A,B,C,D,E,F) e.g. sim = c(11464, 11554, 11603, 11831, 11907, ...) now I would like to fit A,B,C,D,E,F such that obs and f(A,B,C,D,E,F) match as well as possible. A,..,F should be integers and have bounds. How would you solve this problem without bruteforce in an acceptable time? thx Christof __ 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] optimize integer function parameters
On Tue, 23 Jul 2013, Christof Kluß ckl...@email.uni-kiel.de writes: I have observations obs - (11455, 11536, 11582, 11825, 11900, ...) and a simulation function f(A,B,C,D,E,F), so sim - f(A,B,C,D,E,F) e.g. sim = c(11464, 11554, 11603, 11831, 11907, ...) now I would like to fit A,B,C,D,E,F such that obs and f(A,B,C,D,E,F) match as well as possible. A,..,F should be integers and have bounds. How would you solve this problem without bruteforce in an acceptable time? That depends on what your simulation function looks like. Could you post a (small) self-contained example? -- Enrico Schumann Lucerne, Switzerland http://enricoschumann.net __ 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] optimize integer function parameters
Hi
the integer values in the vectors sim and obs are dates
when I set sim - f(TS0,TS1,TS2,TB0,TB1,TB2) my A,..,F below
then TS0 and TB0 are depend (and so on)
the main thing in f(...) is something like
for (i in c(1:length(temperature))) {
Temp - temperature[i]
if (DS 0) {
DS - DS + max(Temp-TB0,0) / TS0
} else if (DS 1) {
... date0 - i
DS - DS + max(Temp-TB1,0) / TS1
} else if (DS 2) {
... date1 - i
DS - DS + max(Temp-TB2,0) / TS2
} else {
... date2 - i
break
}
}
this produced a vector sim = c(date0,date1,date2,...)
now I would like to minimize RMSE(sim,obs) or something like that
thx
Christof
for brute force I would do something like
obs - ...
act - 1000
for (TS0 in seq(50,100,10))
for (TS1 in seq(750,850,10))
for (TS2 in seq(400,600,10))
for (TB0 in c(5:7))
for (TB1 in c(5:7))
for (TB2 in c(4:9)) {
sim - foosim(dat,TS0,TS1,TS2,TB0,TB1,TB2)
rmse - sqrt(mean((sim - obs)^2, na.rm = TRUE))
if (rmse act) {
print(paste(rmse,TS0,TS1,TS2,TB0,TB1,TB2))
act - rmse
}
}
Am 23-07-2013 13:20, schrieb Enrico Schumann:
On Tue, 23 Jul 2013, Christof Kluß ckl...@email.uni-kiel.de writes:
I have observations obs - (11455, 11536, 11582, 11825, 11900, ...)
and a simulation function f(A,B,C,D,E,F), so sim - f(A,B,C,D,E,F)
e.g. sim = c(11464, 11554, 11603, 11831, 11907, ...)
now I would like to fit A,B,C,D,E,F such that obs and f(A,B,C,D,E,F)
match as well as possible. A,..,F should be integers and have bounds.
How would you solve this problem without bruteforce in an acceptable time?
That depends on what your simulation function looks like. Could you
post a (small) self-contained example?
__
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] optimize integer function parameters
On Tue, 23 Jul 2013, Christof Kluß ckl...@email.uni-kiel.de writes:
Am 23-07-2013 13:20, schrieb Enrico Schumann:
On Tue, 23 Jul 2013, Christof Kluß ckl...@email.uni-kiel.de writes:
I have observations obs - (11455, 11536, 11582, 11825, 11900, ...)
and a simulation function f(A,B,C,D,E,F), so sim - f(A,B,C,D,E,F)
e.g. sim = c(11464, 11554, 11603, 11831, 11907, ...)
now I would like to fit A,B,C,D,E,F such that obs and f(A,B,C,D,E,F)
match as well as possible. A,..,F should be integers and have bounds.
How would you solve this problem without bruteforce in an acceptable time?
That depends on what your simulation function looks like. Could you
post a (small) self-contained example?
the integer values in the vectors sim and obs are dates
when I set sim - f(TS0,TS1,TS2,TB0,TB1,TB2) my A,..,F below
then TS0 and TB0 are depend (and so on)
the main thing in f(...) is something like
for (i in c(1:length(temperature))) {
Temp - temperature[i]
if (DS 0) {
DS - DS + max(Temp-TB0,0) / TS0
} else if (DS 1) {
... date0 - i
DS - DS + max(Temp-TB1,0) / TS1
} else if (DS 2) {
... date1 - i
DS - DS + max(Temp-TB2,0) / TS2
} else {
... date2 - i
break
}
}
this produced a vector sim = c(date0,date1,date2,...)
now I would like to minimize RMSE(sim,obs) or something like that
thx
Christof
for brute force I would do something like
obs - ...
act - 1000
for (TS0 in seq(50,100,10))
for (TS1 in seq(750,850,10))
for (TS2 in seq(400,600,10))
for (TB0 in c(5:7))
for (TB1 in c(5:7))
for (TB2 in c(4:9)) {
sim - foosim(dat,TS0,TS1,TS2,TB0,TB1,TB2)
rmse - sqrt(mean((sim - obs)^2, na.rm = TRUE))
if (rmse act) {
print(paste(rmse,TS0,TS1,TS2,TB0,TB1,TB2))
act - rmse
}
}
Sorry, but that is not what I meant by a (small) self-contained
example.
In any case, if brute force is feasible -- ie, your function can be
evaluated quickly enough and there are no further parameters -- then why
not do brute force? (In the NMOF package there is a function
'gridSearch' that allows you to distribute the function evaluations.
Disclosure: I am the package author.)
If that does not work, you might try a Local Search or one of its
variants (see for instance 'LSopt' in the NMOF package). But it is
difficult to say anything specific without knowing your actual function.
Regards,
Enrico
--
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net
__
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.
