The R Project SVN R

\name{nlm}
\alias{nlm}
\title{Non-Linear Minimization}
\concept{optimization}
\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, \dots)
}
\description{
  This function carries out a minimization of the function \code{f}
  using a Newton-type algorithm.  See the references for details.
}
\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.  This should be a function of a vector of
    the length of \code{p} followed by any other arguments specified
    by the \code{\dots} argument.}
  \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.}
  \item{\dots}{additional arguments to \code{f}.}
}
\details{
  If a gradient or hessian is supplied but evaluates to the wrong mode
  or length, it will be ignored if \code{check.analyticals = TRUE} (the
  default) with a warning.  The hessian is not even checked unless the
  gradient is present and passes the sanity checks.

  From the three methods available in the original source, we always use
  method \dQuote{1} which is line search.
}
\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 minimum 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.
    \describe{
      \item{1:}{relative gradient is close to zero, current iterate is
    probably solution.}
      \item{2:}{successive iterates within tolerance, current iterate
    is probably solution.}
      \item{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.}
      \item{4:}{iteration limit exceeded.}
      \item{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{optim}} and \code{\link{nlminb}}.

  
  \code{\link{constrOptim}} for constrained optimization, 
  \code{\link{optimize}} for one-dimensional
  minimization and \code{\link{uniroot}} for root finding.
  \code{\link{deriv}} to calculate analytical derivatives.

  For nonlinear regression, \code{\link{nls}} may be better.
}
\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))

f <- function(x, a) sum((x-a)^2)
nlm(f, c(10,10), a=c(3,5))
f <- function(x, a)
{
    res <- sum((x-a)^2)
    attr(res, "gradient") <- 2*(x-a)
    res
}
nlm(f, c(10,10), a=c(3,5))

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