Rvmminb
(Package: Rvmmin) :
Variable metric nonlinear function minimization with bounds constraints
A bounds-constarined R implementation of a variable metric method for minimization of nonlinear functions subject to bounds (box) constraints and masks (fixed parameters).
Rvmmin
(Package: Rvmmin) :
Variable metric nonlinear function minimization, driver.
A driver to call the unconstrained and bounds constrained versions of an R implementation of a variable metric method for minimization of nonlinear functions, possibly subject to bounds (box) constraints and masks (fixed parameters). The algorithm is based on Nash (1979) Algorithm 21 for main structure, which is itself drawn from Fletcher's (1970) variable metric code. This is also the basis of optim() method 'BFGS' which, however, does not deal with bounds or masks. In the present method, an approximation to the inverse Hessian (B) is used to generate a search direction t = - B &*& g, a simple backtracking line search is used until an acceptable point is found, and the matrix B is updated using a BFGS formula. If no acceptable point can be found, we reset B to the identity i.e., the search direction becomes the negative gradient. If the search along the negative gradient is unsuccessful, the method terminates.
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