e04fy {NAGFWrappers}R Documentation

e04fy: Unconstrained minimum of a sum of squares, combined Gauss-Newton and modified Newton algorithm using function values only (easy-to-use)

Description

e04fy is an easy-to-use algorithm for finding an unconstrained minimum of a sum of squares of m nonlinear functions in n variables (m >= n). No derivatives are required.

It is intended for functions which are continuous and which have continuous first and second derivatives (although it will usually work even if the derivatives have occasional discontinuities).

Usage

e04fy(m, lsfun1, x,
      n = nrow(x))

Arguments

m

integer

lsfun1

function

You must supply this function to calculate the vector of values f_i(x) at any point x. It should be tested separately before being used in conjunction with e04fy (see the E04 chapter introduction in the Fortran Library documentation).

(FVEC) = lsfun1(m,n,xc)

x

double array

x[j]

must be set to a guess at the jth component of the position of the minimum for j=1 . . . n.

n

integer: default = nrow(x)

The number m of residuals, f_i(x), and the number n of variables, x_j.

Details

R interface to the NAG Fortran routine E04FYF.

Value

X

double array

The lowest point found during the calculations. Thus, if ifail =0 on exit, x[j] is the jth component of the position of the minimum.

FSUMSQ

double

The value of the sum of squares, F(x), corresponding to the final point stored in x.

IFAIL

integer

ifail =0

unless the function detects an error or a warning has been flagged (see the Errors section in Fortran library documentation).

Author(s)

NAG

References

http://www.nag.co.uk/numeric/FL/nagdoc_fl23/pdf/E04/e04fyf.pdf

Examples


ifail <- 0
lsfun1 = function(m, n, xc) {
    
    fvec <- as.matrix(mat.or.vec(m, 1))
    for (i in c(1:m)) {
        fvec[i] <- xc[1] + user(2)[i, 1]/(xc[2] %*% user(2)[i, 
            2] + xc[3] %*% user(2)[i, 3]) - user(1)[i]
    }
    list(FVEC = as.matrix(fvec))
}

m <- 15

x <- matrix(c(0.5, 1, 1.5), nrow = 3, ncol = 1, byrow = TRUE)



y <- matrix(c(0.14, 0.18, 0.22, 0.25, 0.29, 0.32, 
    0.35, 0.39, 0.37, 0.58, 0.73, 0.96, 1.34, 2.1, 4.39), nrow = 1, 
    ncol = 15, byrow = TRUE)



t <- matrix(c(1, 15, 1, 2, 14, 2, 3, 13, 3, 4, 12, 
    4, 5, 11, 5, 6, 10, 6, 7, 9, 7, 8, 8, 8, 9, 7, 7, 10, 6, 
    6, 11, 5, 5, 12, 4, 4, 13, 3, 3, 14, 2, 2, 15, 1, 1), nrow = 15, 
    ncol = 3, byrow = TRUE)



user <- function(switch_integer) {
    switch(switch_integer, y, t, 3)
}

e04fy(m, lsfun1, x)
[Package NAGFWrappers version 24.0 Index]