The {ao} package implements alternating optimization in R.
Alternating optimization is an iterative procedure 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.
You can install the released version from CRAN with:
And the development version from GitHub with:
The following is a simple example to perform alternating optimization of the Himmelblau’s function, separately for \(x_1\) and \(x_2\), with the parameter restrictions \(-5 \leq x_1, x_2 \leq 5\):
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")
)
#> $value
#> [1] 1.940035e-12
#>
#> $estimate
#> [1] 3.584428 -1.848126
#>
#> $sequence
#> iteration partition value seconds p1 p2
#> 1 0 NA 1.700000e+02 0.000000e+00 0.000000 0.000000
#> 2 1 1 1.327270e+01 2.765894e-03 3.395691 0.000000
#> 3 1 2 1.743666e+00 1.089573e-04 3.395691 -1.803183
#> 4 2 1 2.847292e-02 8.606911e-05 3.581412 -1.803183
#> 5 2 2 4.687472e-04 7.295609e-05 3.581412 -1.847412
#> 6 3 1 7.368063e-06 9.822845e-05 3.584381 -1.847412
#> 7 3 2 1.157612e-07 5.006790e-05 3.584381 -1.848115
#> 8 4 1 1.900153e-09 5.292892e-05 3.584427 -1.848115
#> 9 4 2 4.221429e-11 4.196167e-05 3.584427 -1.848126
#> 10 5 1 3.598278e-12 3.981590e-05 3.584428 -1.848126
#> 11 5 2 1.940035e-12 4.601479e-05 3.584428 -1.848126
#>
#> $seconds
#> [1] 0.003362894Have a question, found a bug, request a feature, want to contribute? Please file an issue.