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Non-Linear Optimization by a Trust Region Algorithm

Source: R/trust.R
trust.Rd

Thread-safe C++ port of trust::trust() (Geyer). Carries out a minimization or maximization of a function using a trust region algorithm; see the original package's documentation for the algorithm and argument semantics, which this function reproduces exactly.

Usage

trust(
  objfun,
  parinit,
  rinit,
  rmax,
  parscale,
  iterlim = 100,
  fterm = sqrt(.Machine$double.eps),
  mterm = sqrt(.Machine$double.eps),
  minimize = TRUE,
  blather = FALSE,
  ...
)

Arguments

objfun

an R function computing value, gradient, and Hessian; see trust::trust for the exact contract.

parinit

starting parameter values.

rinit

starting trust region radius.

rmax

maximum allowed trust region radius.

parscale

optional parameter scale vector.

iterlim

maximum number of iterations.

fterm

function-value termination tolerance.

mterm

model-decrease termination tolerance.

minimize

if TRUE minimize, if FALSE maximize.

blather

if TRUE return extra per-iteration information.

...

additional arguments passed to objfun.

Value

A list with the same components as trust::trust().