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ao

The {ao} R package implements an iterative procedure known as alternating optimization, which optimizes a function jointly over all parameters by alternately performing restricted optimization over individual parameter subsets. For additional details on the method, please refer to the package vignette.

Installation

You can install the released version from CRAN with:

And the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("loelschlaeger/ao")

Example

The following lines perform alternating optimization of the Himmelblau’s function, separately for x1 and x2, with the parameter restrictions  − 5 ≤ x1, x2 ≤ 5:

library("ao")
himmelblau <- function(x) (x[1]^2 + x[2] - 11)^2 + (x[1] + x[2]^2 - 7)^2
ao(
  f = himmelblau, p = c(0, 0), partition = list(1, 2),
  base_optimizer = optimizer_optim(lower = -5, upper = 5, method = "L-BFGS-B")
)
#> $optimum
#> [1] 1.940035e-12
#> 
#> $estimate
#> [1]  3.584428 -1.848126
#> 
#> $sequence
#>    iteration partition         time       p1        p2
#> 1          0         0 0.0000000000 0.000000  0.000000
#> 2          1         1 0.0211861134 3.395691  0.000000
#> 3          1         2 0.0002582073 3.395691 -1.803183
#> 4          2         1 0.0002069473 3.581412 -1.803183
#> 5          2         2 0.0001850128 3.581412 -1.847412
#> 6          3         1 0.0002598763 3.584381 -1.847412
#> 7          3         2 0.0001449585 3.584381 -1.848115
#> 8          4         1 0.0001430511 3.584427 -1.848115
#> 9          4         2 0.0001301765 3.584427 -1.848126
#> 10         5         1 0.0001349449 3.584428 -1.848126
#> 11         5         2 0.0001239777 3.584428 -1.848126
#> 
#> $time
#> Time difference of 0.02668214 secs

Contact

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