The R Project SVN R

\name{nlm}
\title{Non-Linear Minimization}
\usage{
nlm(f, p, hessian = FALSE, typsize=rep(1, length(p)), fscale=1,
    print.level = 0, ndigit=12, gradtol = 1e-6,
    stepmax = max(1000 * sqrt(sum((p/typsize)^2)), 1000),
    steptol = 1e-6, iterlim = 100, check.analyticals = TRUE)
}
\alias{nlm}
\arguments{
\item{f}{the function to be minimized.  If the function value has
    an attribute called \code{gradient} or both \code{gradient} and
    \code{hessian} attributes, these will be used in the calculation of
    updated parameter values.  Otherwise, numerical derivatives are
    used. \code{\link{deriv}} returns a function with suitable
    \code{gradient} attribute.}
\item{p}{starting parameter values for the minimization.}
\item{hessian}{if \code{TRUE}, the hessian of \code{f}
at the minimum is returned.}
\item{typsize}{an estimate of the size of each parameter
at the minimum.}
\item{fscale}{an estimate of the size of \code{f} at the minimum.}
\item{print.level}{this argument determines the level of printing
  which is done during the minimization process.  The default
  value of \code{0} means that no printing occurs, a value of \code{1}
  means that initial and final details are printed and a value
  of 2 means that full tracing information is printed.}
\item{ndigit}{the number of significant digits in the function \code{f}.}
\item{gradtol}{a positive scalar giving the tolerance at which the
  scaled gradient is considered close enough to zero to
  terminate the algorithm.  The scaled gradient is a
  measure of the relative change in \code{f} in each direction
\code{p[i]} divided by the relative change in \code{p[i]}.}
\item{stepmax}{a positive scalar which gives the maximum allowable
  scaled step length.  \code{stepmax} is used to prevent steps which
  would cause the optimization function to overflow, to prevent the
  algorithm from leaving the area of interest in parameter space, or to
  detect divergence in the algorithm. \code{stepmax} would be chosen
  small enough to prevent the first two of these occurrences, but should
  be larger than any anticipated reasonable step.}
\item{steptol}{A positive scalar providing the minimum allowable
relative step length.}
\item{iterlim}{a positive integer specifying the maximum number of
  iterations to be performed before the program is terminated.}
\item{check.analyticals}{a logical scalar specifying whether the
    analytic gradients and Hessians, if they are supplied, should be
    checked against numerical derivatives at the initial parameter
    values. This can help detect incorrectly formulated gradients or
    Hessians.}
}
\description{
This function carries out a minimization of the function \code{f}
using a Newton-type algorithm.  See the references for details.

This is a preliminary version of this function and it will probably change.
}
\value{
A list containing the following components:
\item{minimum}{the value of the estimated minimum of \code{f}.}
\item{estimate}{the point at which the mininum value of
\code{f} is obtained.}
\item{gradient}{the gradient at the estimated minimum of \code{f}.}
\item{hessian}{the hessian at the estimated minimum of \code{f} (if requested).}
\item{code}{an integer indicating why the optimization process terminated.

    1: relative gradient is close to zero, current iterate is
    probably solution.
    
    2: successive iterates within tolerance, current iterate
    is probably solution.

    3: last global step failed to locate a point lower than
    \code{estimate}.  Either \code{estimate} is an approximate local
    minimum of the function or \code{steptol} is too small.
      
    4: iteration limit exceeded.

    5: maximum step size \code{stepmax} exceeded five consecutive
      times.  Either the function is unbounded below,
      becomes asymptotic to a finite value from above in
      some direction or \code{stepmax} is too small.
  }
}
\item{iterations}{the number of iterations performed.}
}
\references{
Dennis, J. E. and Schnabel, R. B. (1983) \emph{Numerical Methods for
Unconstrained Optimization and Nonlinear Equations}, Prentice-Hall,
Englewood Cliffs, NJ.

Schnabel, R. B., Koontz, J. E. and Weiss, B. E. (1985) A modular
system of algorithms for unconstrained minimization,
\emph{ACM Trans. Math. Software}, \bold{11}, 419-440.
}
\seealso{
\code{\link{optimize}} for one-dimensional
minimization and \code{\link{uniroot}} for root finding.
\code{\link{deriv}} to calculate analytical derivatives.
}
\examples{
f <- function(x) sum((x-1:length(x))^2)
nlm(f, c(10,10))
nlm(f, c(10,10), print.level = 2)
str(nlm(f, c(5), hessian = TRUE))

## more examples, including the use of derivatives.
\dontrun{demo(nlm)}
}
\keyword{nonlinear}