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\name{optchk}
\alias{optchk}
\encoding{UTF-8}
\title{General-purpose optimization}
\concept{minimization}
\concept{maximization}
\description{
A wrapper function that attempts to check the objective function,
and optionally the gradient and hessian functions, supplied by the
user for optimization. It also tries to check the scale of the
parameters and bounds to see if they are reasonable.
}
\usage{
optchk(par, fn, gr=NULL, hess=NULL, lower=-Inf, upper=Inf,
control=list(), ...)
}
\arguments{
\item{par}{a vector of initial values for the parameters
for which optimal values are to be found. Names on the elements
of this vector are preserved and used in the results data frame.}
\item{fn}{A function to be minimized (or maximized), with first
argument the vector of parameters over which minimization is to take
place. It should return a scalar result.}
\item{gr}{A function to return (as a vector) the gradient for those methods that
can use this information.}
\item{hess}{A function to return (as a symmetric matrix) the Hessian of the objective
function for those methods that can use this information.}
\item{lower, upper}{Bounds on the variables for methods such as \code{"L-BFGS-B"} that can
handle box (or bounds) constraints.}
\item{control}{A list of control parameters. See \sQuote{Details}.}
\item{\dots}{For \code{optimx} further arguments to be passed to \code{fn}
and \code{gr}; otherwise, further arguments are not used.}
}
\details{
Note that arguments after \code{\dots} must be matched exactly.
While it can be envisaged that a user would have an analytic hessian but not an analytic
gradient, we do NOT permit the user to test the hessian in this situation.
Any names given to \code{par} will be copied to the vectors passed to
\code{fn} and \code{gr}. Note that no other attributes of \code{par}
are copied over. (We have not verified this as at 2009-07-29.)
}
\value{
A list of the following items:
\describe{
\item{grOK}{TRUE if the analytic gradient and a numerical approximation via \code{numDeriv}
agree within the \code{control$grtesttol} as per the \code{R} code in function
\code{grchk}. \code{NULL} if no analytic gradient function is provided. }
\item{hessOK}{TRUE if the analytic hessian and a numerical approximation via \code{numDeriv::jacobian}
agree within the \code{control$hesstesttol} as per the \code{R} code in function
\code{hesschk}. NULL if no analytic hessian or no analytic gradient is provided. Note
that since an analytic gradient must be available for this test, we use the Jacobian of the
gradient to compute the Hessian to avoid one level of differencing, though the \code{hesschk}
function can work without the gradient.}
\item{scalebad}{TRUE if the larger of the \code{scaleratios} exceeds \code{control$scaletol}}
\item{scaleratios}{A vector of the parameter and bounds scale ratios. See the function code
of \code{scalechk} for the computation of these values.}
}
}
\references{
See the manual pages for \code{optim()} and the packages the DESCRIPTION \code{suggests}.
Nash JC, and Varadhan R (2011). Unifying Optimization Algorithms to Aid Software System Users:
\bold{optimx} for R., \emph{Journal of Statistical Software}, 43(9), 1-14.,
URL http://www.jstatsoft.org/v43/i09/.
Nash JC (2014). On Best Practice Optimization Methods in R.,
\emph{Journal of Statistical Software}, 60(2), 1-14.,
URL http://www.jstatsoft.org/v60/i02/.
}
\examples{
fr <- function(x) { ## Rosenbrock Banana function
x1 <- x[1]
x2 <- x[2]
100 * (x2 - x1 * x1)^2 + (1 - x1)^2
}
grr <- function(x) { ## Gradient of 'fr'
x1 <- x[1]
x2 <- x[2]
c(-400 * x1 * (x2 - x1 * x1) - 2 * (1 - x1),
200 * (x2 - x1 * x1))
}
myctrl<- ctrldefault(2)
myctrl$trace <- 3
mychk <- optchk(par=c(-1.2,1), fr, grr, lower=rep(-10,2), upper=rep(10,2), control=myctrl)
cat("result of optchk\n")
print(mychk)
}
\keyword{nonlinear}
\keyword{optimize}
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